Algorithmic Trading Model for Exponential Moving Average Crossover Grid Search¶
Task 1. Prepare Environment¶
In [1]:
!pip install python-dotenv PyMySQL
Requirement already satisfied: python-dotenv in /usr/local/lib/python3.6/dist-packages (0.13.0) Requirement already satisfied: PyMySQL in /usr/local/lib/python3.6/dist-packages (0.9.3)
In [2]:
# Retrieve CPU information from the system
ncpu = !nproc
print("The number of available CPUs is:", ncpu[0])
The number of available CPUs is: 2
In [3]:
import os
import sys
import smtplib
import numpy as np
import pandas as pd
import requests
import json
from email.message import EmailMessage
import matplotlib.pyplot as plt
from datetime import datetime, timedelta
from dotenv import load_dotenv
In [4]:
# Begin the timer for the script processing
startTimeScript = datetime.now()
# Set up the verbose flag to print detailed messages for debugging (setting True will activate!)
verbose = True
# Set up the sendNotification flag to send progress emails (setting True will send emails!)
notifyStatus = False
# Set up the parent directory location for loading the dotenv files
useColab = True
if useColab:
# Mount Google Drive locally for storing files
from google.colab import drive
drive.mount('/content/gdrive')
gdrivePrefix = '/content/gdrive/My Drive/Colab_Downloads/'
env_path = '/content/gdrive/My Drive/Colab Notebooks/'
dotenv_path = env_path + "python_script.env"
load_dotenv(dotenv_path=dotenv_path)
# Set up the dotenv file for retrieving environment variables
useLocalPC = False
if useLocalPC:
env_path = "/Users/david/PycharmProjects/"
dotenv_path = env_path + "python_script.env"
load_dotenv(dotenv_path=dotenv_path)
# Configure the plotting style
plt.style.use('seaborn')
# Set Pandas options
pd.set_option("display.max_rows", None)
pd.set_option("display.max_columns", None)
# pd.set_option("display.width", 140)
Drive already mounted at /content/gdrive; to attempt to forcibly remount, call drive.mount("/content/gdrive", force_remount=True).
In [5]:
stock_symbol = 'GOOGL'
initial_capital = 0
# Specify the parameters for the trading strategy
fast_ma_min = 5
fast_ma_max = 20
slow_ma_min = 10
slow_ma_max = 50
ma_increment = 5
min_ma_gap = 5
model_start_date = datetime(2019, 1, 1)
print("Starting date for the model:", model_start_date)
stock_start_date = model_start_date - timedelta(days=int(slow_ma_max*1.5)) # Need more pricing data to calculate moving averages
model_end_date = datetime.now()
# model_end_date = datetime(2020, 6, 30)
print("Ending date for the model:", model_end_date)
Starting date for the model: 2019-01-01 00:00:00 Ending date for the model: 2020-06-30 21:25:16.591890
Task 2. Acquire and Pre-Process Data¶
In [6]:
# Check and see whether the API key is available
quandl_key = os.environ.get('QUANDL_API')
if quandl_key is None: sys.exit("API key for Quandl not available. Script Processing Aborted!!!")
In [7]:
start_date_string = stock_start_date.strftime('%Y-%m-%d')
end_date_string = model_end_date.strftime('%Y-%m-%d')
quandl_url = "https://www.quandl.com/api/v3/datatables/SHARADAR/SEP.json?date.gte=%s&date.lte=%s&ticker=%s&api_key=%s" % (start_date_string, end_date_string, stock_symbol, quandl_key)
In [8]:
response = requests.get(quandl_url)
quandl_dict = json.loads(response.text)
stock_quandl = pd.DataFrame(quandl_dict['datatable']['data'])
print(len(stock_quandl), 'data points retrieved from the API call.')
427 data points retrieved from the API call.
In [9]:
stock_quandl.columns = ['ticker', 'date', 'open', 'high', 'low', 'close', 'volume', 'dividend', 'closeunadj', 'lastupdated']
# stock_quandl.set_index('date', inplace=True)
stock_quandl.index = pd.to_datetime(stock_quandl.date)
stock_quandl = stock_quandl.sort_index(ascending = True)
stock_quandl.info(verbose=True)
<class 'pandas.core.frame.DataFrame'> DatetimeIndex: 427 entries, 2018-10-18 to 2020-06-30 Data columns (total 10 columns): # Column Non-Null Count Dtype --- ------ -------------- ----- 0 ticker 427 non-null object 1 date 427 non-null object 2 open 427 non-null float64 3 high 427 non-null float64 4 low 427 non-null float64 5 close 427 non-null float64 6 volume 427 non-null float64 7 dividend 427 non-null float64 8 closeunadj 427 non-null float64 9 lastupdated 427 non-null object dtypes: float64(7), object(3) memory usage: 36.7+ KB
In [10]:
stock_quandl.head()
Out[10]:
| ticker | date | open | high | low | close | volume | dividend | closeunadj | lastupdated | |
|---|---|---|---|---|---|---|---|---|---|---|
| date | ||||||||||
| 2018-10-18 | GOOGL | 2018-10-18 | 1130.00 | 1132.35 | 1086.34 | 1097.91 | 2307596.0 | 0.0 | 1097.91 | 2020-05-01 |
| 2018-10-19 | GOOGL | 2018-10-19 | 1103.71 | 1120.95 | 1097.03 | 1105.18 | 2064289.0 | 0.0 | 1105.18 | 2020-05-01 |
| 2018-10-22 | GOOGL | 2018-10-22 | 1112.51 | 1121.69 | 1100.00 | 1111.37 | 1355842.0 | 0.0 | 1111.37 | 2020-05-01 |
| 2018-10-23 | GOOGL | 2018-10-23 | 1091.29 | 1118.00 | 1079.01 | 1114.91 | 1884255.0 | 0.0 | 1114.91 | 2020-05-01 |
| 2018-10-24 | GOOGL | 2018-10-24 | 1115.00 | 1116.62 | 1055.06 | 1057.12 | 2464295.0 | 0.0 | 1057.12 | 2020-05-01 |
In [11]:
stock_quandl.tail()
Out[11]:
| ticker | date | open | high | low | close | volume | dividend | closeunadj | lastupdated | |
|---|---|---|---|---|---|---|---|---|---|---|
| date | ||||||||||
| 2020-06-24 | GOOGL | 2020-06-24 | 1463.28 | 1475.79 | 1430.00 | 1432.70 | 1574103.0 | 0.0 | 1432.70 | 2020-06-24 |
| 2020-06-25 | GOOGL | 2020-06-25 | 1431.22 | 1442.32 | 1419.54 | 1441.10 | 1194083.0 | 0.0 | 1441.10 | 2020-06-25 |
| 2020-06-26 | GOOGL | 2020-06-26 | 1432.63 | 1437.02 | 1355.00 | 1362.54 | 4882014.0 | 0.0 | 1362.54 | 2020-06-26 |
| 2020-06-29 | GOOGL | 2020-06-29 | 1360.34 | 1398.00 | 1351.65 | 1397.17 | 2246904.0 | 0.0 | 1397.17 | 2020-06-30 |
| 2020-06-30 | GOOGL | 2020-06-30 | 1396.88 | 1424.00 | 1386.93 | 1418.05 | 1971249.0 | 0.0 | 1418.05 | 2020-06-30 |
In [12]:
title_string = 'Quandl Historical Stock Information for ' + stock_symbol
stock_quandl['close'].plot(figsize=(16,9), title=title_string)
plt.show()
Task 3. Develop Strategy and Train Model¶
3.a) Set up the Dataframe for the Trading Model¶
In [13]:
# Set up the standard column name for modeling
model_template = stock_quandl.loc[:, ['open','close']]
model_template.rename(columns={'open': 'open_price', 'close': 'close_price'}, inplace=True)
if verbose: model_template.info(verbose=True)
<class 'pandas.core.frame.DataFrame'> DatetimeIndex: 427 entries, 2018-10-18 to 2020-06-30 Data columns (total 2 columns): # Column Non-Null Count Dtype --- ------ -------------- ----- 0 open_price 427 non-null float64 1 close_price 427 non-null float64 dtypes: float64(2) memory usage: 10.0 KB
3.b) Set up the Analysis Table with Indicators¶
In [14]:
def trading_ma_crossover(model):
waitfor_first_entry = True
for x in range(len(model)):
if model['ma_change'].iloc[x] > 0:
model['trade_signal'].iloc[x] = 1 # trade_signal = 1 means we should take a long position
else:
model['trade_signal'].iloc[x] = 0 # trade_signal = 0 means we should take a flat position
if x != 0:
model['signal_change'].iloc[x] = model['trade_signal'].iloc[x] - model['trade_signal'].iloc[x-1]
if waitfor_first_entry and (model['signal_change'].iloc[x-1] == 1):
model['entry_exit'].iloc[x] = model['signal_change'].iloc[x-1]
waitfor_first_entry = False
elif (not waitfor_first_entry) and (model['signal_change'].iloc[x-1] != 0):
model['entry_exit'].iloc[x] = model['signal_change'].iloc[x-1]
In [15]:
model_collection = {}
serial_number = 1
for slow_ma in range(slow_ma_min, slow_ma_max+1, ma_increment):
for fast_ma in range(fast_ma_min, fast_ma_max+1, ma_increment):
if (slow_ma - fast_ma) < min_ma_gap: break
print('Processing model with slow_ma of', slow_ma, 'and fast_ma of', fast_ma)
model_name = 'EMA_' + str(serial_number).zfill(3) + '_SlowMA_' + str(slow_ma).zfill(2) + '_FastMA_' + str(fast_ma).zfill(2)
serial_number = serial_number + 1
trading_model = model_template.copy()
trading_model['fast_ma'] = trading_model['close_price'].ewm(span=fast_ma).mean()
trading_model['slow_ma'] = trading_model['close_price'].ewm(span=slow_ma).mean()
trading_model['ma_change'] = trading_model['fast_ma'] - trading_model['slow_ma']
trading_model['trade_signal'] = np.zeros(len(trading_model))
trading_model['signal_change'] = np.zeros(len(trading_model))
trading_model['entry_exit'] = np.zeros(len(trading_model))
trading_model = trading_model[model_start_date:model_end_date]
trading_ma_crossover(trading_model)
model_collection[model_name] = trading_model.copy()
print('Model', model_name, 'added to the trading model collection.')
Processing model with slow_ma of 10 and fast_ma of 5 Model EMA_001_SlowMA_10_FastMA_05 added to the trading model collection. Processing model with slow_ma of 15 and fast_ma of 5 Model EMA_002_SlowMA_15_FastMA_05 added to the trading model collection. Processing model with slow_ma of 15 and fast_ma of 10 Model EMA_003_SlowMA_15_FastMA_10 added to the trading model collection. Processing model with slow_ma of 20 and fast_ma of 5 Model EMA_004_SlowMA_20_FastMA_05 added to the trading model collection. Processing model with slow_ma of 20 and fast_ma of 10 Model EMA_005_SlowMA_20_FastMA_10 added to the trading model collection. Processing model with slow_ma of 20 and fast_ma of 15 Model EMA_006_SlowMA_20_FastMA_15 added to the trading model collection. Processing model with slow_ma of 25 and fast_ma of 5 Model EMA_007_SlowMA_25_FastMA_05 added to the trading model collection. Processing model with slow_ma of 25 and fast_ma of 10 Model EMA_008_SlowMA_25_FastMA_10 added to the trading model collection. Processing model with slow_ma of 25 and fast_ma of 15 Model EMA_009_SlowMA_25_FastMA_15 added to the trading model collection. Processing model with slow_ma of 25 and fast_ma of 20 Model EMA_010_SlowMA_25_FastMA_20 added to the trading model collection. Processing model with slow_ma of 30 and fast_ma of 5 Model EMA_011_SlowMA_30_FastMA_05 added to the trading model collection. Processing model with slow_ma of 30 and fast_ma of 10 Model EMA_012_SlowMA_30_FastMA_10 added to the trading model collection. Processing model with slow_ma of 30 and fast_ma of 15 Model EMA_013_SlowMA_30_FastMA_15 added to the trading model collection. Processing model with slow_ma of 30 and fast_ma of 20 Model EMA_014_SlowMA_30_FastMA_20 added to the trading model collection. Processing model with slow_ma of 35 and fast_ma of 5 Model EMA_015_SlowMA_35_FastMA_05 added to the trading model collection. Processing model with slow_ma of 35 and fast_ma of 10 Model EMA_016_SlowMA_35_FastMA_10 added to the trading model collection. Processing model with slow_ma of 35 and fast_ma of 15 Model EMA_017_SlowMA_35_FastMA_15 added to the trading model collection. Processing model with slow_ma of 35 and fast_ma of 20 Model EMA_018_SlowMA_35_FastMA_20 added to the trading model collection. Processing model with slow_ma of 40 and fast_ma of 5 Model EMA_019_SlowMA_40_FastMA_05 added to the trading model collection. Processing model with slow_ma of 40 and fast_ma of 10 Model EMA_020_SlowMA_40_FastMA_10 added to the trading model collection. Processing model with slow_ma of 40 and fast_ma of 15 Model EMA_021_SlowMA_40_FastMA_15 added to the trading model collection. Processing model with slow_ma of 40 and fast_ma of 20 Model EMA_022_SlowMA_40_FastMA_20 added to the trading model collection. Processing model with slow_ma of 45 and fast_ma of 5 Model EMA_023_SlowMA_45_FastMA_05 added to the trading model collection. Processing model with slow_ma of 45 and fast_ma of 10 Model EMA_024_SlowMA_45_FastMA_10 added to the trading model collection. Processing model with slow_ma of 45 and fast_ma of 15 Model EMA_025_SlowMA_45_FastMA_15 added to the trading model collection. Processing model with slow_ma of 45 and fast_ma of 20 Model EMA_026_SlowMA_45_FastMA_20 added to the trading model collection. Processing model with slow_ma of 50 and fast_ma of 5 Model EMA_027_SlowMA_50_FastMA_05 added to the trading model collection. Processing model with slow_ma of 50 and fast_ma of 10 Model EMA_028_SlowMA_50_FastMA_10 added to the trading model collection. Processing model with slow_ma of 50 and fast_ma of 15 Model EMA_029_SlowMA_50_FastMA_15 added to the trading model collection. Processing model with slow_ma of 50 and fast_ma of 20 Model EMA_030_SlowMA_50_FastMA_20 added to the trading model collection.
In [16]:
# List the entry/exit points for each model
for key in model_collection:
print('List the signal change and entry/exit points for', key)
if verbose: print(model_collection[key][(model_collection[key].signal_change != 0) | (model_collection[key].entry_exit != 0)])
else: print(model_collection[key][model_collection[key].entry_exit != 0])
print()
List the signal change and entry/exit points for EMA_001_SlowMA_10_FastMA_05
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-03 1050.67 1025.47 1038.328799 1038.606313 -0.277514
2019-01-04 1042.56 1078.07 1051.575866 1045.781701 5.794165
2019-01-07 1080.97 1075.92 1059.690577 1051.261500 8.429078
2019-01-29 1081.04 1070.06 1081.554609 1081.978623 -0.424014
2019-01-30 1077.36 1097.99 1087.033073 1084.889785 2.143288
2019-01-31 1112.24 1125.89 1099.985382 1092.344374 7.641007
2019-02-21 1118.78 1104.21 1116.425545 1117.222473 -0.796928
2019-02-22 1109.70 1116.56 1116.470364 1117.102024 -0.631660
2019-02-26 1114.37 1122.01 1118.507939 1118.028297 0.479643
2019-02-27 1114.01 1122.89 1119.968626 1118.912243 1.056383
2019-03-27 1191.92 1178.01 1193.660472 1194.226927 -0.566455
2019-03-28 1175.50 1172.27 1186.530315 1190.234758 -3.704443
2019-04-02 1200.05 1205.54 1194.205279 1192.694244 1.511034
2019-04-03 1212.70 1210.81 1199.740186 1195.988018 3.752168
2019-05-01 1197.50 1173.32 1224.228908 1234.907030 -10.678122
2019-05-02 1172.60 1166.51 1204.989272 1222.471207 -17.481934
2019-06-17 1089.10 1093.89 1086.373968 1085.986037 0.387930
2019-06-18 1111.50 1105.24 1092.662645 1089.486758 3.175887
2019-06-26 1091.00 1080.32 1096.082701 1097.355593 -1.272891
2019-06-27 1086.75 1076.63 1089.598468 1093.587303 -3.988836
2019-07-02 1104.83 1112.60 1098.569916 1096.685157 1.884759
2019-07-03 1118.50 1122.99 1106.709944 1101.467856 5.242088
2019-08-06 1165.52 1171.08 1183.114404 1184.135127 -1.020723
2019-08-07 1157.80 1175.91 1180.712936 1182.639649 -1.926713
2019-08-08 1186.43 1206.19 1189.205291 1186.921531 2.283760
2019-08-09 1199.99 1188.90 1189.103527 1187.281253 1.822274
2019-08-12 1180.00 1174.50 1184.235685 1184.957389 -0.721704
2019-08-13 1174.35 1196.73 1188.400456 1187.097863 1.302593
2019-08-14 1176.07 1164.25 1180.350304 1182.943706 -2.593402
2019-08-15 1168.43 1169.32 1176.673536 1180.466669 -3.793133
2019-08-19 1191.83 1200.44 1185.159349 1183.911241 1.248108
2019-08-20 1195.35 1183.53 1184.616233 1183.841925 0.774308
2019-08-23 1185.17 1153.58 1176.836662 1180.423774 -3.587112
2019-08-26 1159.45 1171.18 1174.951108 1178.743088 -3.791980
2019-08-29 1186.42 1194.24 1180.501810 1179.853592 0.648218
2019-08-30 1200.35 1190.53 1183.844540 1181.794757 2.049783
2019-09-03 1181.85 1169.55 1179.079693 1179.568438 -0.488744
2019-09-04 1179.45 1182.27 1180.143129 1180.059631 0.083498
2019-09-05 1193.66 1212.19 1190.825419 1185.901516 4.923903
2019-10-01 1222.49 1206.00 1221.416013 1224.636539 -3.220525
2019-10-02 1196.50 1177.92 1206.917342 1216.142622 -9.225280
2019-10-14 1213.89 1217.77 1211.151131 1210.073139 1.077992
2019-10-15 1221.50 1242.24 1221.514087 1215.921659 5.592428
2019-11-22 1303.00 1293.67 1302.310599 1302.364315 -0.053716
2019-11-25 1296.26 1305.64 1303.420399 1302.959894 0.460505
2019-11-26 1309.91 1313.00 1306.613600 1304.785368 1.828232
2019-12-02 1302.56 1288.86 1300.952178 1302.680341 -1.728163
2019-12-03 1278.66 1294.74 1298.881452 1301.236642 -2.355191
2019-12-04 1306.10 1318.94 1305.567635 1304.455435 1.112200
2019-12-05 1327.00 1326.96 1312.698423 1308.547174 4.151249
2019-12-31 1335.79 1339.39 1345.964531 1347.015668 -1.051137
2020-01-02 1348.41 1368.68 1353.536354 1350.954637 2.581716
2020-01-03 1348.00 1361.52 1356.197569 1352.875612 3.321957
2020-01-31 1467.86 1432.78 1447.860323 1449.207622 -1.347299
2020-02-03 1461.65 1482.60 1459.440215 1455.278964 4.161252
2020-02-04 1454.49 1445.41 1454.763477 1453.484607 1.278870
2020-02-05 1463.61 1446.05 1451.858985 1452.132860 -0.273875
2020-02-06 1451.98 1475.97 1459.895990 1456.466885 3.429104
2020-02-07 1467.38 1479.11 1466.300660 1460.583815 5.716845
2020-02-24 1423.05 1419.86 1477.063444 1487.234636 -10.171192
2020-02-25 1431.00 1386.32 1446.815629 1468.886520 -22.070891
2020-03-31 1148.73 1161.95 1139.081204 1138.296537 0.784667
2020-04-01 1124.00 1102.10 1126.754136 1131.715349 -4.961212
2020-04-02 1100.00 1117.03 1123.512758 1129.045285 -5.532528
2020-04-06 1133.00 1183.19 1136.557892 1133.483042 3.074850
2020-04-07 1217.01 1182.56 1151.891928 1142.406125 9.485803
2020-06-12 1425.86 1412.92 1426.764783 1428.261595 -1.496811
2020-06-15 1389.49 1420.74 1424.756522 1426.894032 -2.137510
2020-06-16 1449.00 1446.47 1431.994348 1430.453299 1.541049
2020-06-17 1452.94 1452.54 1438.842899 1434.469063 4.373836
2020-06-26 1432.63 1362.54 1415.499219 1425.745870 -10.246651
2020-06-29 1360.34 1397.17 1409.389479 1420.550257 -11.160778
trade_signal signal_change entry_exit
date
2019-01-03 0.0 -1.0 0.0
2019-01-04 1.0 1.0 0.0
2019-01-07 1.0 0.0 1.0
2019-01-29 0.0 -1.0 0.0
2019-01-30 1.0 1.0 -1.0
2019-01-31 1.0 0.0 1.0
2019-02-21 0.0 -1.0 0.0
2019-02-22 0.0 0.0 -1.0
2019-02-26 1.0 1.0 0.0
2019-02-27 1.0 0.0 1.0
2019-03-27 0.0 -1.0 0.0
2019-03-28 0.0 0.0 -1.0
2019-04-02 1.0 1.0 0.0
2019-04-03 1.0 0.0 1.0
2019-05-01 0.0 -1.0 0.0
2019-05-02 0.0 0.0 -1.0
2019-06-17 1.0 1.0 0.0
2019-06-18 1.0 0.0 1.0
2019-06-26 0.0 -1.0 0.0
2019-06-27 0.0 0.0 -1.0
2019-07-02 1.0 1.0 0.0
2019-07-03 1.0 0.0 1.0
2019-08-06 0.0 -1.0 0.0
2019-08-07 0.0 0.0 -1.0
2019-08-08 1.0 1.0 0.0
2019-08-09 1.0 0.0 1.0
2019-08-12 0.0 -1.0 0.0
2019-08-13 1.0 1.0 -1.0
2019-08-14 0.0 -1.0 1.0
2019-08-15 0.0 0.0 -1.0
2019-08-19 1.0 1.0 0.0
2019-08-20 1.0 0.0 1.0
2019-08-23 0.0 -1.0 0.0
2019-08-26 0.0 0.0 -1.0
2019-08-29 1.0 1.0 0.0
2019-08-30 1.0 0.0 1.0
2019-09-03 0.0 -1.0 0.0
2019-09-04 1.0 1.0 -1.0
2019-09-05 1.0 0.0 1.0
2019-10-01 0.0 -1.0 0.0
2019-10-02 0.0 0.0 -1.0
2019-10-14 1.0 1.0 0.0
2019-10-15 1.0 0.0 1.0
2019-11-22 0.0 -1.0 0.0
2019-11-25 1.0 1.0 -1.0
2019-11-26 1.0 0.0 1.0
2019-12-02 0.0 -1.0 0.0
2019-12-03 0.0 0.0 -1.0
2019-12-04 1.0 1.0 0.0
2019-12-05 1.0 0.0 1.0
2019-12-31 0.0 -1.0 0.0
2020-01-02 1.0 1.0 -1.0
2020-01-03 1.0 0.0 1.0
2020-01-31 0.0 -1.0 0.0
2020-02-03 1.0 1.0 -1.0
2020-02-04 1.0 0.0 1.0
2020-02-05 0.0 -1.0 0.0
2020-02-06 1.0 1.0 -1.0
2020-02-07 1.0 0.0 1.0
2020-02-24 0.0 -1.0 0.0
2020-02-25 0.0 0.0 -1.0
2020-03-31 1.0 1.0 0.0
2020-04-01 0.0 -1.0 1.0
2020-04-02 0.0 0.0 -1.0
2020-04-06 1.0 1.0 0.0
2020-04-07 1.0 0.0 1.0
2020-06-12 0.0 -1.0 0.0
2020-06-15 0.0 0.0 -1.0
2020-06-16 1.0 1.0 0.0
2020-06-17 1.0 0.0 1.0
2020-06-26 0.0 -1.0 0.0
2020-06-29 0.0 0.0 -1.0
List the signal change and entry/exit points for EMA_002_SlowMA_15_FastMA_05
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-03 1050.67 1025.47 1038.328799 1040.994140 -2.665341
2019-01-04 1042.56 1078.07 1051.575866 1045.632538 5.943328
2019-01-07 1080.97 1075.92 1059.690577 1049.421269 10.269308
2019-03-29 1180.18 1176.89 1183.316877 1185.166532 -1.849656
2019-04-01 1187.54 1198.98 1188.537918 1186.893216 1.644702
2019-04-02 1200.05 1205.54 1194.205279 1189.224065 4.981214
2019-05-01 1197.50 1173.32 1224.228908 1233.530859 -9.301950
2019-05-02 1172.60 1166.51 1204.989272 1225.153251 -20.163979
2019-06-19 1107.24 1104.51 1096.611763 1095.571105 1.040658
2019-06-20 1121.70 1113.20 1102.141176 1097.774717 4.366459
2019-06-26 1091.00 1080.32 1096.082701 1098.599874 -2.517173
2019-06-27 1086.75 1076.63 1089.598468 1095.853640 -6.255172
2019-07-02 1104.83 1112.60 1098.569916 1097.151169 1.418747
2019-07-03 1118.50 1122.99 1106.709944 1100.381023 6.328921
2019-08-14 1176.07 1164.25 1180.350304 1180.656270 -0.305965
2019-08-15 1168.43 1169.32 1176.673536 1179.239236 -2.565700
2019-08-19 1191.83 1200.44 1185.159349 1181.886134 3.273216
2019-08-20 1195.35 1183.53 1184.616233 1182.091617 2.524616
2019-08-23 1185.17 1153.58 1176.836662 1180.466962 -3.630301
2019-08-26 1159.45 1171.18 1174.951108 1179.306092 -4.354984
2019-08-29 1186.42 1194.24 1180.501810 1179.752987 0.748822
2019-08-30 1200.35 1190.53 1183.844540 1181.100114 2.744426
2019-09-03 1181.85 1169.55 1179.079693 1179.656350 -0.576657
2019-09-04 1179.45 1182.27 1180.143129 1179.983056 0.160073
2019-09-05 1193.66 1212.19 1190.825419 1184.008924 6.816495
2019-10-01 1222.49 1206.00 1221.416013 1222.797146 -1.381132
2019-10-02 1196.50 1177.92 1206.917342 1217.187503 -10.270160
2019-10-14 1213.89 1217.77 1211.151131 1210.854331 0.296799
2019-10-15 1221.50 1242.24 1221.514087 1214.777540 6.736547
2019-12-03 1278.66 1294.74 1298.881452 1299.845754 -0.964302
2019-12-04 1306.10 1318.94 1305.567635 1302.232534 3.335100
2019-12-05 1327.00 1326.96 1312.698423 1305.323468 7.374955
2020-02-24 1423.05 1419.86 1477.063444 1484.957371 -7.893927
2020-02-25 1431.00 1386.32 1446.815629 1472.627700 -25.812070
2020-04-07 1217.01 1182.56 1151.891928 1149.218975 2.672953
2020-04-08 1203.10 1207.00 1170.261285 1156.441603 13.819683
2020-06-26 1432.63 1362.54 1415.499219 1426.702084 -11.202866
2020-06-29 1360.34 1397.17 1409.389479 1423.010574 -13.621095
trade_signal signal_change entry_exit
date
2019-01-03 0.0 -1.0 0.0
2019-01-04 1.0 1.0 0.0
2019-01-07 1.0 0.0 1.0
2019-03-29 0.0 -1.0 0.0
2019-04-01 1.0 1.0 -1.0
2019-04-02 1.0 0.0 1.0
2019-05-01 0.0 -1.0 0.0
2019-05-02 0.0 0.0 -1.0
2019-06-19 1.0 1.0 0.0
2019-06-20 1.0 0.0 1.0
2019-06-26 0.0 -1.0 0.0
2019-06-27 0.0 0.0 -1.0
2019-07-02 1.0 1.0 0.0
2019-07-03 1.0 0.0 1.0
2019-08-14 0.0 -1.0 0.0
2019-08-15 0.0 0.0 -1.0
2019-08-19 1.0 1.0 0.0
2019-08-20 1.0 0.0 1.0
2019-08-23 0.0 -1.0 0.0
2019-08-26 0.0 0.0 -1.0
2019-08-29 1.0 1.0 0.0
2019-08-30 1.0 0.0 1.0
2019-09-03 0.0 -1.0 0.0
2019-09-04 1.0 1.0 -1.0
2019-09-05 1.0 0.0 1.0
2019-10-01 0.0 -1.0 0.0
2019-10-02 0.0 0.0 -1.0
2019-10-14 1.0 1.0 0.0
2019-10-15 1.0 0.0 1.0
2019-12-03 0.0 -1.0 0.0
2019-12-04 1.0 1.0 -1.0
2019-12-05 1.0 0.0 1.0
2020-02-24 0.0 -1.0 0.0
2020-02-25 0.0 0.0 -1.0
2020-04-07 1.0 1.0 0.0
2020-04-08 1.0 0.0 1.0
2020-06-26 0.0 -1.0 0.0
2020-06-29 0.0 0.0 -1.0
List the signal change and entry/exit points for EMA_003_SlowMA_15_FastMA_10
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-04 1042.56 1078.07 1045.781701 1045.632538 0.149163
2019-01-07 1080.97 1075.92 1051.261500 1049.421269 1.840230
2019-05-02 1172.60 1166.51 1222.471207 1225.153251 -2.682045
2019-05-03 1177.41 1189.55 1216.485533 1220.702845 -4.217312
2019-06-21 1109.86 1125.37 1101.367097 1101.224127 0.142970
2019-06-24 1120.00 1116.70 1104.154898 1103.158611 0.996286
2019-06-25 1115.08 1087.58 1101.141280 1101.211285 -0.070005
2019-06-26 1091.00 1080.32 1097.355593 1098.599874 -1.244282
2019-07-03 1118.50 1122.99 1101.467856 1100.381023 1.086833
2019-07-05 1119.37 1132.66 1107.139155 1104.415895 2.723260
2019-08-23 1185.17 1153.58 1180.423774 1180.466962 -0.043188
2019-08-26 1159.45 1171.18 1178.743088 1179.306092 -0.563004
2019-08-29 1186.42 1194.24 1179.853592 1179.752987 0.100605
2019-08-30 1200.35 1190.53 1181.794757 1181.100114 0.694643
2019-09-03 1181.85 1169.55 1179.568438 1179.656350 -0.087912
2019-09-04 1179.45 1182.27 1180.059631 1179.983056 0.076575
2019-09-05 1193.66 1212.19 1185.901516 1184.008924 1.892592
2019-10-02 1196.50 1177.92 1216.142622 1217.187503 -1.044880
2019-10-03 1183.34 1189.43 1211.285782 1213.717815 -2.432033
2019-10-15 1221.50 1242.24 1215.921659 1214.777540 1.144119
2019-10-16 1241.81 1243.00 1220.844994 1218.305348 2.539646
2020-02-25 1431.00 1386.32 1468.886520 1472.627700 -3.741179
2020-02-26 1394.98 1390.47 1454.628971 1462.357987 -7.729016
2020-04-09 1218.18 1206.57 1163.681291 1162.707653 0.973638
2020-04-13 1201.50 1210.41 1172.177420 1168.670446 3.506974
2020-06-26 1432.63 1362.54 1425.745870 1426.702084 -0.956214
2020-06-29 1360.34 1397.17 1420.550257 1423.010574 -2.460316
trade_signal signal_change entry_exit
date
2019-01-04 1.0 1.0 0.0
2019-01-07 1.0 0.0 1.0
2019-05-02 0.0 -1.0 0.0
2019-05-03 0.0 0.0 -1.0
2019-06-21 1.0 1.0 0.0
2019-06-24 1.0 0.0 1.0
2019-06-25 0.0 -1.0 0.0
2019-06-26 0.0 0.0 -1.0
2019-07-03 1.0 1.0 0.0
2019-07-05 1.0 0.0 1.0
2019-08-23 0.0 -1.0 0.0
2019-08-26 0.0 0.0 -1.0
2019-08-29 1.0 1.0 0.0
2019-08-30 1.0 0.0 1.0
2019-09-03 0.0 -1.0 0.0
2019-09-04 1.0 1.0 -1.0
2019-09-05 1.0 0.0 1.0
2019-10-02 0.0 -1.0 0.0
2019-10-03 0.0 0.0 -1.0
2019-10-15 1.0 1.0 0.0
2019-10-16 1.0 0.0 1.0
2020-02-25 0.0 -1.0 0.0
2020-02-26 0.0 0.0 -1.0
2020-04-09 1.0 1.0 0.0
2020-04-13 1.0 0.0 1.0
2020-06-26 0.0 -1.0 0.0
2020-06-29 0.0 0.0 -1.0
List the signal change and entry/exit points for EMA_004_SlowMA_20_FastMA_05
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-04 1042.56 1078.07 1051.575866 1046.976263 4.599603
2019-01-07 1080.97 1075.92 1059.690577 1049.745260 9.945318
2019-05-01 1197.50 1173.32 1224.228908 1229.390969 -5.162060
2019-05-02 1172.60 1166.51 1204.989272 1223.402296 -18.413024
2019-06-21 1109.86 1125.37 1109.884117 1105.224579 4.659538
2019-06-24 1120.00 1116.70 1112.156078 1106.317476 5.838602
2019-06-25 1115.08 1087.58 1103.964052 1104.532955 -0.568903
2019-06-26 1091.00 1080.32 1096.082701 1102.226959 -6.144258
2019-07-03 1118.50 1122.99 1106.709944 1101.920723 4.789221
2019-07-05 1119.37 1132.66 1115.359963 1104.848274 10.511689
2019-08-23 1185.17 1153.58 1176.836662 1178.531484 -1.694822
2019-08-26 1159.45 1171.18 1174.951108 1177.831342 -2.880235
2019-08-29 1186.42 1194.24 1180.501810 1178.495778 2.006032
2019-08-30 1200.35 1190.53 1183.844540 1179.641894 4.202646
2019-10-02 1196.50 1177.92 1206.917342 1215.534752 -8.617410
2019-10-03 1183.34 1189.43 1201.088228 1213.048585 -11.960357
2019-10-14 1213.89 1217.77 1211.151131 1210.848648 0.302483
2019-10-15 1221.50 1242.24 1221.514087 1213.838301 7.675787
2020-02-24 1423.05 1419.86 1477.063444 1479.200477 -2.137033
2020-02-25 1431.00 1386.32 1446.815629 1470.354717 -23.539088
2020-04-08 1203.10 1207.00 1170.261285 1168.202703 2.058582
2020-04-09 1218.18 1206.57 1182.364190 1171.856732 10.507459
2020-06-26 1432.63 1362.54 1415.499219 1423.512090 -8.012871
2020-06-29 1360.34 1397.17 1409.389479 1421.003319 -11.613840
trade_signal signal_change entry_exit
date
2019-01-04 1.0 1.0 0.0
2019-01-07 1.0 0.0 1.0
2019-05-01 0.0 -1.0 0.0
2019-05-02 0.0 0.0 -1.0
2019-06-21 1.0 1.0 0.0
2019-06-24 1.0 0.0 1.0
2019-06-25 0.0 -1.0 0.0
2019-06-26 0.0 0.0 -1.0
2019-07-03 1.0 1.0 0.0
2019-07-05 1.0 0.0 1.0
2019-08-23 0.0 -1.0 0.0
2019-08-26 0.0 0.0 -1.0
2019-08-29 1.0 1.0 0.0
2019-08-30 1.0 0.0 1.0
2019-10-02 0.0 -1.0 0.0
2019-10-03 0.0 0.0 -1.0
2019-10-14 1.0 1.0 0.0
2019-10-15 1.0 0.0 1.0
2020-02-24 0.0 -1.0 0.0
2020-02-25 0.0 0.0 -1.0
2020-04-08 1.0 1.0 0.0
2020-04-09 1.0 0.0 1.0
2020-06-26 0.0 -1.0 0.0
2020-06-29 0.0 0.0 -1.0
List the signal change and entry/exit points for EMA_005_SlowMA_20_FastMA_10
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-07 1080.97 1075.92 1051.261500 1049.745260 1.516240
2019-01-08 1086.00 1085.37 1057.463145 1053.151951 4.311194
2019-05-02 1172.60 1166.51 1222.471207 1223.402296 -0.931089
2019-05-03 1177.41 1189.55 1216.485533 1220.178263 -3.692731
2019-07-05 1119.37 1132.66 1107.139155 1104.848274 2.290881
2019-07-08 1125.87 1116.79 1108.893854 1105.985581 2.908273
2019-08-28 1164.87 1173.75 1176.656612 1176.838491 -0.181879
2019-08-29 1186.42 1194.24 1179.853592 1178.495778 1.357814
2019-08-30 1200.35 1190.53 1181.794757 1179.641894 2.152863
2019-10-03 1183.34 1189.43 1211.285782 1213.048585 -1.762803
2019-10-04 1194.29 1210.96 1211.226549 1212.849672 -1.623123
2019-10-15 1221.50 1242.24 1215.921659 1213.838301 2.083358
2019-10-16 1241.81 1243.00 1220.844994 1216.615605 4.229388
2020-02-25 1431.00 1386.32 1468.886520 1470.354717 -1.468197
2020-02-26 1394.98 1390.47 1454.628971 1462.746649 -8.117678
2020-04-14 1239.97 1265.23 1189.096071 1184.071474 5.024596
2020-04-15 1246.51 1257.30 1201.496785 1191.045619 10.451166
2020-06-29 1360.34 1397.17 1420.550257 1421.003319 -0.453062
2020-06-30 1396.88 1418.05 1420.095665 1420.722051 -0.626386
trade_signal signal_change entry_exit
date
2019-01-07 1.0 1.0 0.0
2019-01-08 1.0 0.0 1.0
2019-05-02 0.0 -1.0 0.0
2019-05-03 0.0 0.0 -1.0
2019-07-05 1.0 1.0 0.0
2019-07-08 1.0 0.0 1.0
2019-08-28 0.0 -1.0 0.0
2019-08-29 1.0 1.0 -1.0
2019-08-30 1.0 0.0 1.0
2019-10-03 0.0 -1.0 0.0
2019-10-04 0.0 0.0 -1.0
2019-10-15 1.0 1.0 0.0
2019-10-16 1.0 0.0 1.0
2020-02-25 0.0 -1.0 0.0
2020-02-26 0.0 0.0 -1.0
2020-04-14 1.0 1.0 0.0
2020-04-15 1.0 0.0 1.0
2020-06-29 0.0 -1.0 0.0
2020-06-30 0.0 0.0 -1.0
List the signal change and entry/exit points for EMA_006_SlowMA_20_FastMA_15
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-08 1086.00 1085.37 1053.917767 1053.151951 0.765816
2019-01-09 1087.99 1081.65 1057.386257 1055.876077 1.510180
2019-05-06 1172.00 1193.46 1217.297489 1217.633664 -0.336175
2019-05-07 1185.81 1178.86 1212.492803 1213.940930 -1.448127
2019-07-09 1110.32 1124.29 1108.253576 1107.728859 0.524717
2019-07-10 1132.32 1140.91 1112.335629 1110.888968 1.446661
2019-10-08 1198.77 1190.13 1209.907364 1210.289550 -0.382186
2019-10-09 1201.33 1202.40 1208.968944 1209.538165 -0.569221
2019-10-14 1213.89 1217.77 1210.854331 1210.848648 0.005683
2019-10-15 1221.50 1242.24 1214.777540 1213.838301 0.939239
2020-02-26 1394.98 1390.47 1462.357987 1462.746649 -0.388662
2020-02-27 1359.14 1314.95 1443.931989 1448.670777 -4.738789
2020-04-16 1267.14 1257.43 1198.700299 1197.367941 1.332357
2020-04-17 1281.70 1279.00 1208.737761 1205.142423 3.595338
trade_signal signal_change entry_exit
date
2019-01-08 1.0 1.0 0.0
2019-01-09 1.0 0.0 1.0
2019-05-06 0.0 -1.0 0.0
2019-05-07 0.0 0.0 -1.0
2019-07-09 1.0 1.0 0.0
2019-07-10 1.0 0.0 1.0
2019-10-08 0.0 -1.0 0.0
2019-10-09 0.0 0.0 -1.0
2019-10-14 1.0 1.0 0.0
2019-10-15 1.0 0.0 1.0
2020-02-26 0.0 -1.0 0.0
2020-02-27 0.0 0.0 -1.0
2020-04-16 1.0 1.0 0.0
2020-04-17 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_007_SlowMA_25_FastMA_05
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-04 1042.56 1078.07 1051.575866 1048.549922 3.025944
2019-01-07 1080.97 1075.92 1059.690577 1050.683625 9.006952
2019-05-01 1197.50 1173.32 1224.228908 1224.328358 -0.099450
2019-05-02 1172.60 1166.51 1204.989272 1219.880694 -14.891422
2019-06-24 1120.00 1116.70 1112.156078 1111.140161 1.015917
2019-06-25 1115.08 1087.58 1103.964052 1109.327839 -5.363787
2019-06-26 1091.00 1080.32 1096.082701 1107.096465 -11.013763
2019-07-03 1118.50 1122.99 1106.709944 1105.073216 1.636728
2019-07-05 1119.37 1132.66 1115.359963 1107.195278 8.164685
2019-08-26 1159.45 1171.18 1174.951108 1175.350570 -0.399462
2019-08-27 1183.00 1170.82 1173.574072 1175.002065 -1.427993
2019-08-29 1186.42 1194.24 1180.501810 1176.393002 4.108808
2019-08-30 1200.35 1190.53 1183.844540 1177.480463 6.364076
2019-10-02 1196.50 1177.92 1206.917342 1212.873522 -5.956180
2019-10-03 1183.34 1189.43 1201.088228 1211.070174 -9.981946
2019-10-14 1213.89 1217.77 1211.151131 1209.965458 1.185673
2019-10-15 1221.50 1242.24 1221.514087 1212.448115 9.065972
2020-02-25 1431.00 1386.32 1446.815629 1465.467016 -18.651387
2020-02-26 1394.98 1390.47 1428.033753 1459.698015 -31.664262
2020-04-13 1201.50 1210.41 1191.712794 1187.138583 4.574211
2020-04-14 1239.97 1265.23 1216.218529 1193.145615 23.072914
2020-06-26 1432.63 1362.54 1415.499219 1417.939242 -2.440024
2020-06-29 1360.34 1397.17 1409.389479 1416.341608 -6.952129
trade_signal signal_change entry_exit
date
2019-01-04 1.0 1.0 0.0
2019-01-07 1.0 0.0 1.0
2019-05-01 0.0 -1.0 0.0
2019-05-02 0.0 0.0 -1.0
2019-06-24 1.0 1.0 0.0
2019-06-25 0.0 -1.0 1.0
2019-06-26 0.0 0.0 -1.0
2019-07-03 1.0 1.0 0.0
2019-07-05 1.0 0.0 1.0
2019-08-26 0.0 -1.0 0.0
2019-08-27 0.0 0.0 -1.0
2019-08-29 1.0 1.0 0.0
2019-08-30 1.0 0.0 1.0
2019-10-02 0.0 -1.0 0.0
2019-10-03 0.0 0.0 -1.0
2019-10-14 1.0 1.0 0.0
2019-10-15 1.0 0.0 1.0
2020-02-25 0.0 -1.0 0.0
2020-02-26 0.0 0.0 -1.0
2020-04-13 1.0 1.0 0.0
2020-04-14 1.0 0.0 1.0
2020-06-26 0.0 -1.0 0.0
2020-06-29 0.0 0.0 -1.0
List the signal change and entry/exit points for EMA_008_SlowMA_25_FastMA_10
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-07 1080.97 1075.92 1051.261500 1050.683625 0.577874
2019-01-08 1086.00 1085.37 1057.463145 1053.384894 4.078251
2019-05-03 1177.41 1189.55 1216.485533 1217.547517 -1.061984
2019-05-06 1172.00 1193.46 1212.299072 1215.694596 -3.395524
2019-07-08 1125.87 1116.79 1108.893854 1107.933334 0.960520
2019-07-09 1110.32 1124.29 1111.693153 1109.191540 2.501614
2019-10-07 1207.00 1208.25 1210.685358 1210.845415 -0.160057
2019-10-08 1198.77 1190.13 1206.948020 1209.251921 -2.303901
2019-10-14 1213.89 1217.77 1210.073139 1209.965458 0.107680
2019-10-15 1221.50 1242.24 1215.921659 1212.448115 3.473544
2020-02-26 1394.98 1390.47 1454.628971 1459.698015 -5.069044
2020-02-27 1359.14 1314.95 1429.232794 1448.563553 -19.330758
2020-04-15 1246.51 1257.30 1201.496785 1198.080567 3.416218
2020-04-16 1267.14 1257.43 1211.666460 1202.645908 9.020552
trade_signal signal_change entry_exit
date
2019-01-07 1.0 1.0 0.0
2019-01-08 1.0 0.0 1.0
2019-05-03 0.0 -1.0 0.0
2019-05-06 0.0 0.0 -1.0
2019-07-08 1.0 1.0 0.0
2019-07-09 1.0 0.0 1.0
2019-10-07 0.0 -1.0 0.0
2019-10-08 0.0 0.0 -1.0
2019-10-14 1.0 1.0 0.0
2019-10-15 1.0 0.0 1.0
2020-02-26 0.0 -1.0 0.0
2020-02-27 0.0 0.0 -1.0
2020-04-15 1.0 1.0 0.0
2020-04-16 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_009_SlowMA_25_FastMA_15
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-08 1086.00 1085.37 1053.917767 1053.384894 0.532872
2019-01-09 1087.99 1081.65 1057.386257 1055.583997 1.802260
2019-05-07 1185.81 1178.86 1212.492803 1212.861117 -0.368314
2019-05-08 1177.29 1170.78 1207.278702 1209.624056 -2.345354
2019-07-10 1132.32 1140.91 1112.335629 1111.631422 0.704207
2019-07-11 1146.16 1144.08 1116.303675 1114.127468 2.176207
2020-02-27 1359.14 1314.95 1443.931989 1448.563553 -4.631564
2020-02-28 1274.31 1339.25 1430.846740 1440.154818 -9.308078
2020-04-17 1281.70 1279.00 1208.737761 1208.519300 0.218461
2020-04-20 1269.89 1261.15 1215.289291 1212.567815 2.721476
trade_signal signal_change entry_exit
date
2019-01-08 1.0 1.0 0.0
2019-01-09 1.0 0.0 1.0
2019-05-07 0.0 -1.0 0.0
2019-05-08 0.0 0.0 -1.0
2019-07-10 1.0 1.0 0.0
2019-07-11 1.0 0.0 1.0
2020-02-27 0.0 -1.0 0.0
2020-02-28 0.0 0.0 -1.0
2020-04-17 1.0 1.0 0.0
2020-04-20 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_010_SlowMA_25_FastMA_20
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-09 1087.99 1081.65 1055.876077 1055.583997 0.292080
2019-01-10 1074.94 1078.83 1058.069469 1057.391010 0.678459
2019-05-09 1162.60 1167.97 1205.843656 1206.419851 -0.576195
2019-05-10 1168.84 1167.64 1202.205210 1203.436745 -1.231535
2019-07-12 1142.93 1145.34 1117.030017 1116.528433 0.501584
2019-07-15 1145.34 1150.51 1120.218587 1119.142401 1.076186
2020-02-28 1274.31 1339.25 1438.249751 1440.154818 -1.905067
2020-03-02 1351.39 1386.32 1433.304060 1436.013678 -2.709617
2020-04-23 1265.74 1271.17 1220.518389 1220.304012 0.214377
2020-04-24 1255.00 1276.60 1225.859495 1224.634473 1.225022
trade_signal signal_change entry_exit
date
2019-01-09 1.0 1.0 0.0
2019-01-10 1.0 0.0 1.0
2019-05-09 0.0 -1.0 0.0
2019-05-10 0.0 0.0 -1.0
2019-07-12 1.0 1.0 0.0
2019-07-15 1.0 0.0 1.0
2020-02-28 0.0 -1.0 0.0
2020-03-02 0.0 0.0 -1.0
2020-04-23 1.0 1.0 0.0
2020-04-24 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_011_SlowMA_30_FastMA_05
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-04 1042.56 1078.07 1051.575866 1050.005256 1.570610
2019-01-07 1080.97 1075.92 1059.690577 1051.724077 7.966500
2019-05-02 1172.60 1166.51 1204.989272 1215.542393 -10.553121
2019-05-03 1177.41 1189.55 1199.842848 1213.865258 -14.022410
2019-07-05 1119.37 1132.66 1115.359963 1110.463799 4.896163
2019-07-08 1125.87 1116.79 1115.836642 1110.871944 4.964698
2019-10-02 1196.50 1177.92 1206.917342 1209.822724 -2.905381
2019-10-03 1183.34 1189.43 1201.088228 1208.507064 -7.418836
2019-10-11 1224.03 1215.71 1207.841696 1207.815131 0.026566
2019-10-14 1213.89 1217.77 1211.151131 1208.457380 2.693751
2020-02-25 1431.00 1386.32 1446.815629 1459.322958 -12.507329
2020-02-26 1394.98 1390.47 1428.033753 1454.880832 -26.847079
2020-04-14 1239.97 1265.23 1216.218529 1204.336412 11.882117
2020-04-15 1246.51 1257.30 1229.912353 1207.753417 22.158935
2020-06-29 1360.34 1397.17 1409.389479 1410.346880 -0.957401
2020-06-30 1396.88 1418.05 1412.276319 1410.843855 1.432464
trade_signal signal_change entry_exit
date
2019-01-04 1.0 1.0 0.0
2019-01-07 1.0 0.0 1.0
2019-05-02 0.0 -1.0 0.0
2019-05-03 0.0 0.0 -1.0
2019-07-05 1.0 1.0 0.0
2019-07-08 1.0 0.0 1.0
2019-10-02 0.0 -1.0 0.0
2019-10-03 0.0 0.0 -1.0
2019-10-11 1.0 1.0 0.0
2019-10-14 1.0 0.0 1.0
2020-02-25 0.0 -1.0 0.0
2020-02-26 0.0 0.0 -1.0
2020-04-14 1.0 1.0 0.0
2020-04-15 1.0 0.0 1.0
2020-06-29 0.0 -1.0 0.0
2020-06-30 1.0 1.0 -1.0
List the signal change and entry/exit points for EMA_012_SlowMA_30_FastMA_10
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-08 1086.00 1085.37 1057.463145 1053.951645 3.511500
2019-01-09 1087.99 1081.65 1061.860813 1055.782353 6.078460
2019-05-06 1172.00 1193.46 1212.299072 1212.548638 -0.249566
2019-05-07 1185.81 1178.86 1206.219241 1210.374944 -4.155703
2019-07-10 1132.32 1140.91 1117.005307 1113.619729 3.385578
2019-07-11 1146.16 1144.08 1121.927979 1115.584919 6.343060
2019-10-08 1198.77 1190.13 1206.948020 1207.444425 -0.496404
2019-10-09 1201.33 1202.40 1206.121108 1207.118978 -0.997870
2019-10-11 1224.03 1215.71 1208.362725 1207.815131 0.547594
2019-10-14 1213.89 1217.77 1210.073139 1208.457380 1.615758
2020-02-26 1394.98 1390.47 1454.628971 1454.880832 -0.251861
2020-02-27 1359.14 1314.95 1429.232794 1445.853036 -16.620242
2020-04-16 1267.14 1257.43 1211.666460 1210.958358 0.708102
2020-04-17 1281.70 1279.00 1223.908922 1215.348141 8.560781
trade_signal signal_change entry_exit
date
2019-01-08 1.0 1.0 0.0
2019-01-09 1.0 0.0 1.0
2019-05-06 0.0 -1.0 0.0
2019-05-07 0.0 0.0 -1.0
2019-07-10 1.0 1.0 0.0
2019-07-11 1.0 0.0 1.0
2019-10-08 0.0 -1.0 0.0
2019-10-09 0.0 0.0 -1.0
2019-10-11 1.0 1.0 0.0
2019-10-14 1.0 0.0 1.0
2020-02-26 0.0 -1.0 0.0
2020-02-27 0.0 0.0 -1.0
2020-04-16 1.0 1.0 0.0
2020-04-17 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_013_SlowMA_30_FastMA_15
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-09 1087.99 1081.65 1057.386257 1055.782353 1.603905
2019-01-10 1074.94 1078.83 1060.068052 1057.303274 2.764778
2019-05-08 1177.29 1170.78 1207.278702 1207.820174 -0.541472
2019-05-09 1162.60 1167.97 1202.365115 1205.248953 -2.883838
2019-07-11 1146.16 1144.08 1116.303675 1115.584919 0.718757
2019-07-12 1142.93 1145.34 1119.933216 1117.504611 2.428605
2020-02-27 1359.14 1314.95 1443.931989 1445.853036 -1.921048
2020-02-28 1274.31 1339.25 1430.846740 1438.975421 -8.128681
2020-04-23 1265.74 1271.17 1226.691224 1223.787632 2.903592
2020-04-24 1255.00 1276.60 1232.929821 1227.194882 5.734940
trade_signal signal_change entry_exit
date
2019-01-09 1.0 1.0 0.0
2019-01-10 1.0 0.0 1.0
2019-05-08 0.0 -1.0 0.0
2019-05-09 0.0 0.0 -1.0
2019-07-11 1.0 1.0 0.0
2019-07-12 1.0 0.0 1.0
2020-02-27 0.0 -1.0 0.0
2020-02-28 0.0 0.0 -1.0
2020-04-23 1.0 1.0 0.0
2020-04-24 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_014_SlowMA_30_FastMA_20
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-09 1087.99 1081.65 1055.876077 1055.782353 0.093725
2019-01-10 1074.94 1078.83 1058.069469 1057.303274 0.766195
2019-05-10 1168.84 1167.64 1202.205210 1202.822355 -0.617145
2019-05-13 1145.24 1136.59 1195.956138 1198.548947 -2.592810
2019-07-15 1145.34 1150.51 1120.218587 1119.634001 0.584586
2019-07-16 1146.73 1153.46 1123.384436 1121.816333 1.568103
2020-02-28 1274.31 1339.25 1438.249751 1438.975421 -0.725670
2020-03-02 1351.39 1386.32 1433.304060 1435.578297 -2.274237
2020-04-27 1292.00 1270.86 1230.145257 1230.011986 0.133271
2020-04-28 1283.20 1232.59 1230.378090 1230.178310 0.199781
trade_signal signal_change entry_exit
date
2019-01-09 1.0 1.0 0.0
2019-01-10 1.0 0.0 1.0
2019-05-10 0.0 -1.0 0.0
2019-05-13 0.0 0.0 -1.0
2019-07-15 1.0 1.0 0.0
2019-07-16 1.0 0.0 1.0
2020-02-28 0.0 -1.0 0.0
2020-03-02 0.0 0.0 -1.0
2020-04-27 1.0 1.0 0.0
2020-04-28 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_015_SlowMA_35_FastMA_05
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-04 1042.56 1078.07 1051.575866 1051.266297 0.309569
2019-01-07 1080.97 1075.92 1059.690577 1052.701476 6.989101
2019-05-02 1172.60 1166.51 1204.989272 1210.852394 -5.863121
2019-05-03 1177.41 1189.55 1199.842848 1209.668400 -9.825552
2019-07-05 1119.37 1132.66 1115.359963 1113.994334 1.365629
2019-07-08 1125.87 1116.79 1115.836642 1114.149654 1.686988
2019-10-03 1183.34 1189.43 1201.088228 1205.720051 -4.631823
2019-10-04 1194.29 1210.96 1204.378819 1206.011160 -1.632341
2019-10-11 1224.03 1215.71 1207.841696 1205.908221 1.933476
2019-10-14 1213.89 1217.77 1211.151131 1206.567209 4.583922
2020-02-25 1431.00 1386.32 1446.815629 1452.577673 -5.762044
2020-02-26 1394.98 1390.47 1428.033753 1449.127247 -21.093494
2020-04-14 1239.97 1265.23 1216.218529 1215.737194 0.481335
2020-04-15 1246.51 1257.30 1229.912353 1218.046239 11.866113
trade_signal signal_change entry_exit
date
2019-01-04 1.0 1.0 0.0
2019-01-07 1.0 0.0 1.0
2019-05-02 0.0 -1.0 0.0
2019-05-03 0.0 0.0 -1.0
2019-07-05 1.0 1.0 0.0
2019-07-08 1.0 0.0 1.0
2019-10-03 0.0 -1.0 0.0
2019-10-04 0.0 0.0 -1.0
2019-10-11 1.0 1.0 0.0
2019-10-14 1.0 0.0 1.0
2020-02-25 0.0 -1.0 0.0
2020-02-26 0.0 0.0 -1.0
2020-04-14 1.0 1.0 0.0
2020-04-15 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_016_SlowMA_35_FastMA_10
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-08 1086.00 1085.37 1057.463145 1054.598185 2.864960
2019-01-09 1087.99 1081.65 1061.860813 1056.164869 5.695944
2019-05-07 1185.81 1178.86 1206.219241 1207.105363 -0.886122
2019-05-08 1177.29 1170.78 1199.775743 1205.086530 -5.310787
2019-07-10 1132.32 1140.91 1117.005307 1116.168460 0.836847
2019-07-11 1146.16 1144.08 1121.927979 1117.719148 4.208830
2020-02-27 1359.14 1314.95 1429.232794 1441.672955 -12.440161
2020-02-28 1274.31 1339.25 1412.872286 1435.982791 -23.110505
2020-04-17 1281.70 1279.00 1223.908922 1223.498991 0.409931
2020-04-20 1269.89 1261.15 1230.680027 1225.590714 5.089313
trade_signal signal_change entry_exit
date
2019-01-08 1.0 1.0 0.0
2019-01-09 1.0 0.0 1.0
2019-05-07 0.0 -1.0 0.0
2019-05-08 0.0 0.0 -1.0
2019-07-10 1.0 1.0 0.0
2019-07-11 1.0 0.0 1.0
2020-02-27 0.0 -1.0 0.0
2020-02-28 0.0 0.0 -1.0
2020-04-17 1.0 1.0 0.0
2020-04-20 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_017_SlowMA_35_FastMA_15
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-09 1087.99 1081.65 1057.386257 1056.164869 1.221388
2019-01-10 1074.94 1078.83 1060.068052 1057.474414 2.593639
2019-05-09 1162.60 1167.97 1202.365115 1203.023769 -0.658655
2019-05-10 1168.84 1167.64 1198.024475 1201.057346 -3.032871
2019-07-12 1142.93 1145.34 1119.933216 1119.253684 0.679532
2019-07-15 1145.34 1150.51 1123.755314 1120.990193 2.765121
2020-02-28 1274.31 1339.25 1430.846740 1435.982791 -5.136051
2020-03-02 1351.39 1386.32 1425.280898 1433.223747 -7.942849
2020-04-24 1255.00 1276.60 1232.929821 1231.813829 1.115993
2020-04-27 1292.00 1270.86 1237.671094 1233.983060 3.688033
trade_signal signal_change entry_exit
date
2019-01-09 1.0 1.0 0.0
2019-01-10 1.0 0.0 1.0
2019-05-09 0.0 -1.0 0.0
2019-05-10 0.0 0.0 -1.0
2019-07-12 1.0 1.0 0.0
2019-07-15 1.0 0.0 1.0
2020-02-28 0.0 -1.0 0.0
2020-03-02 0.0 0.0 -1.0
2020-04-24 1.0 1.0 0.0
2020-04-27 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_018_SlowMA_35_FastMA_20
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-10 1074.94 1078.83 1058.069469 1057.474414 0.595055
2019-01-11 1069.90 1064.47 1058.680886 1057.877708 0.803178
2019-05-13 1145.24 1136.59 1195.956138 1197.474694 -1.518557
2019-05-14 1142.32 1124.86 1189.185072 1193.439340 -4.254267
2019-07-16 1146.73 1153.46 1123.384436 1122.794117 0.590318
2019-07-17 1150.92 1146.74 1125.608775 1124.124476 1.484299
2020-03-03 1397.68 1337.72 1424.200817 1427.917983 -3.717167
2020-03-04 1358.96 1381.60 1420.143596 1425.344762 -5.201166
2020-04-29 1345.00 1342.18 1241.025891 1239.920909 1.104982
2020-04-30 1331.36 1346.70 1251.090092 1245.853081 5.237011
trade_signal signal_change entry_exit
date
2019-01-10 1.0 1.0 0.0
2019-01-11 1.0 0.0 1.0
2019-05-13 0.0 -1.0 0.0
2019-05-14 0.0 0.0 -1.0
2019-07-16 1.0 1.0 0.0
2019-07-17 1.0 0.0 1.0
2020-03-03 0.0 -1.0 0.0
2020-03-04 0.0 0.0 -1.0
2020-04-29 1.0 1.0 0.0
2020-04-30 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_019_SlowMA_40_FastMA_05
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-07 1080.97 1075.92 1059.690577 1053.571229 6.119349
2019-01-08 1086.00 1085.37 1068.250385 1055.228258 13.022127
2019-05-02 1172.60 1166.51 1204.989272 1206.082966 -1.093693
2019-05-03 1177.41 1189.55 1199.842848 1205.275535 -5.432687
2019-07-09 1110.32 1124.29 1118.654428 1117.712131 0.942297
2019-07-10 1132.32 1140.91 1126.072952 1118.843867 7.229085
2019-10-03 1183.34 1189.43 1201.088228 1202.911479 -1.823251
2019-10-04 1194.29 1210.96 1204.378819 1203.304092 1.074727
2019-10-07 1207.00 1208.25 1205.669213 1203.545357 2.123855
2019-10-08 1198.77 1190.13 1200.489475 1202.890946 -2.401471
2019-10-09 1201.33 1202.40 1201.126317 1202.866997 -1.740681
2019-10-10 1198.60 1209.47 1203.907544 1203.189097 0.718448
2019-10-11 1224.03 1215.71 1207.841696 1203.799875 4.041821
2020-02-26 1394.98 1390.47 1428.033753 1442.889722 -14.855970
2020-02-27 1359.14 1314.95 1390.339169 1436.648760 -46.309592
2020-04-15 1246.51 1257.30 1229.912353 1227.942098 1.970255
2020-04-16 1267.14 1257.43 1239.084902 1229.380532 9.704370
trade_signal signal_change entry_exit
date
2019-01-07 1.0 1.0 0.0
2019-01-08 1.0 0.0 1.0
2019-05-02 0.0 -1.0 0.0
2019-05-03 0.0 0.0 -1.0
2019-07-09 1.0 1.0 0.0
2019-07-10 1.0 0.0 1.0
2019-10-03 0.0 -1.0 0.0
2019-10-04 1.0 1.0 -1.0
2019-10-07 1.0 0.0 1.0
2019-10-08 0.0 -1.0 0.0
2019-10-09 0.0 0.0 -1.0
2019-10-10 1.0 1.0 0.0
2019-10-11 1.0 0.0 1.0
2020-02-26 0.0 -1.0 0.0
2020-02-27 0.0 0.0 -1.0
2020-04-15 1.0 1.0 0.0
2020-04-16 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_020_SlowMA_40_FastMA_10
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-08 1086.00 1085.37 1057.463145 1055.228258 2.234887
2019-01-09 1087.99 1081.65 1061.860813 1056.600522 5.260291
2019-05-08 1177.29 1170.78 1199.775743 1201.842157 -2.066415
2019-05-09 1162.60 1167.97 1193.992880 1200.188274 -6.195393
2019-07-11 1146.16 1144.08 1121.927979 1120.075035 1.852944
2019-07-12 1142.93 1145.34 1126.184710 1121.307603 4.877107
2020-02-27 1359.14 1314.95 1429.232794 1436.648760 -7.415966
2020-02-28 1274.31 1339.25 1412.872286 1431.897601 -19.025315
2020-04-23 1265.74 1271.17 1239.912832 1235.321414 4.591418
2020-04-24 1255.00 1276.60 1246.583226 1237.335004 9.248223
trade_signal signal_change entry_exit
date
2019-01-08 1.0 1.0 0.0
2019-01-09 1.0 0.0 1.0
2019-05-08 0.0 -1.0 0.0
2019-05-09 0.0 0.0 -1.0
2019-07-11 1.0 1.0 0.0
2019-07-12 1.0 0.0 1.0
2020-02-27 0.0 -1.0 0.0
2020-02-28 0.0 0.0 -1.0
2020-04-23 1.0 1.0 0.0
2020-04-24 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_021_SlowMA_40_FastMA_15
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-09 1087.99 1081.65 1057.386257 1056.600522 0.785735
2019-01-10 1074.94 1078.83 1060.068052 1057.751420 2.316632
2019-05-10 1168.84 1167.64 1198.024475 1198.599106 -0.574631
2019-05-13 1145.24 1136.59 1190.345166 1195.571649 -5.226484
2019-07-15 1145.34 1150.51 1123.755314 1122.732254 1.023060
2019-07-16 1146.73 1153.46 1127.468400 1124.231312 3.237088
2020-02-28 1274.31 1339.25 1430.846740 1431.897601 -1.050861
2020-03-02 1351.39 1386.32 1425.280898 1429.674303 -4.393406
2020-04-29 1345.00 1342.18 1250.178962 1243.708930 6.470032
2020-04-30 1331.36 1346.70 1262.244092 1248.732885 13.511207
trade_signal signal_change entry_exit
date
2019-01-09 1.0 1.0 0.0
2019-01-10 1.0 0.0 1.0
2019-05-10 0.0 -1.0 0.0
2019-05-13 0.0 0.0 -1.0
2019-07-15 1.0 1.0 0.0
2019-07-16 1.0 0.0 1.0
2020-02-28 0.0 -1.0 0.0
2020-03-02 0.0 0.0 -1.0
2020-04-29 1.0 1.0 0.0
2020-04-30 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_022_SlowMA_40_FastMA_20
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-10 1074.94 1078.83 1058.069469 1057.751420 0.318049
2019-01-11 1069.90 1064.47 1058.680886 1058.098227 0.582659
2019-05-14 1142.32 1124.86 1189.185072 1192.119456 -2.934384
2019-05-15 1122.55 1170.80 1187.434112 1191.078667 -3.644555
2019-07-17 1150.92 1146.74 1125.608775 1125.329397 0.279378
2019-07-18 1142.00 1147.24 1127.668892 1126.398300 1.270592
2020-03-03 1397.68 1337.72 1424.200817 1425.188727 -0.987911
2020-03-04 1358.96 1381.60 1420.143596 1423.062448 -2.918852
2020-04-30 1331.36 1346.70 1251.090092 1248.732885 2.357207
2020-05-01 1324.09 1317.32 1257.397702 1252.078598 5.319104
trade_signal signal_change entry_exit
date
2019-01-10 1.0 1.0 0.0
2019-01-11 1.0 0.0 1.0
2019-05-14 0.0 -1.0 0.0
2019-05-15 0.0 0.0 -1.0
2019-07-17 1.0 1.0 0.0
2019-07-18 1.0 0.0 1.0
2020-03-03 0.0 -1.0 0.0
2020-03-04 0.0 0.0 -1.0
2020-04-30 1.0 1.0 0.0
2020-05-01 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_023_SlowMA_45_FastMA_05
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-07 1080.97 1075.92 1059.690577 1054.330610 5.359967
2019-01-08 1086.00 1085.37 1068.250385 1055.808325 12.442060
2019-05-03 1177.41 1189.55 1199.842848 1200.886752 -1.043903
2019-05-06 1172.00 1193.46 1197.715232 1200.563083 -2.847851
2019-07-10 1132.32 1140.91 1126.072952 1121.398642 4.674310
2019-07-11 1146.16 1144.08 1132.075301 1122.385090 9.690211
2019-10-08 1198.77 1190.13 1200.489475 1200.518973 -0.029498
2019-10-09 1201.33 1202.40 1201.126317 1200.600758 0.525558
2019-10-10 1198.60 1209.47 1203.907544 1200.986384 2.921160
2020-02-26 1394.98 1390.47 1428.033753 1436.428995 -8.395242
2020-02-27 1359.14 1314.95 1390.339169 1431.147298 -40.808130
2020-04-16 1267.14 1257.43 1239.084902 1237.865940 1.218962
2020-04-17 1281.70 1279.00 1252.389935 1239.654377 12.735557
trade_signal signal_change entry_exit
date
2019-01-07 1.0 1.0 0.0
2019-01-08 1.0 0.0 1.0
2019-05-03 0.0 -1.0 0.0
2019-05-06 0.0 0.0 -1.0
2019-07-10 1.0 1.0 0.0
2019-07-11 1.0 0.0 1.0
2019-10-08 0.0 -1.0 0.0
2019-10-09 1.0 1.0 -1.0
2019-10-10 1.0 0.0 1.0
2020-02-26 0.0 -1.0 0.0
2020-02-27 0.0 0.0 -1.0
2020-04-16 1.0 1.0 0.0
2020-04-17 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_024_SlowMA_45_FastMA_10
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-08 1086.00 1085.37 1057.463145 1055.808325 1.654820
2019-01-09 1087.99 1081.65 1061.860813 1057.033529 4.827284
2019-05-09 1162.60 1167.97 1193.992880 1197.036724 -3.043843
2019-05-10 1168.84 1167.64 1189.201447 1195.756066 -6.554618
2019-07-12 1142.93 1145.34 1126.184710 1123.383422 2.801287
2019-07-15 1145.34 1150.51 1130.607490 1124.563170 6.044320
2020-02-27 1359.14 1314.95 1429.232794 1431.147298 -1.914504
2020-02-28 1274.31 1339.25 1412.872286 1427.151762 -14.279476
2020-04-24 1255.00 1276.60 1246.583226 1243.053656 3.529570
2020-04-27 1292.00 1270.86 1250.997185 1244.262628 6.734558
trade_signal signal_change entry_exit
date
2019-01-08 1.0 1.0 0.0
2019-01-09 1.0 0.0 1.0
2019-05-09 0.0 -1.0 0.0
2019-05-10 0.0 0.0 -1.0
2019-07-12 1.0 1.0 0.0
2019-07-15 1.0 0.0 1.0
2020-02-27 0.0 -1.0 0.0
2020-02-28 0.0 0.0 -1.0
2020-04-24 1.0 1.0 0.0
2020-04-27 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_025_SlowMA_45_FastMA_15
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-09 1087.99 1081.65 1057.386257 1057.033529 0.352728
2019-01-10 1074.94 1078.83 1060.068052 1058.062893 2.005159
2019-05-13 1145.24 1136.59 1190.345166 1193.178740 -2.833574
2019-05-14 1142.32 1124.86 1182.159520 1190.202962 -8.043442
2019-07-16 1146.73 1153.46 1127.468400 1125.819891 1.648509
2019-07-17 1150.92 1146.74 1129.877350 1126.729694 3.147656
2020-03-02 1351.39 1386.32 1425.280898 1425.376468 -0.095570
2020-03-03 1397.68 1337.72 1414.335785 1421.565316 -7.229531
2020-04-29 1345.00 1342.18 1250.178962 1248.034465 2.144498
2020-04-30 1331.36 1346.70 1262.244092 1252.324271 9.919821
trade_signal signal_change entry_exit
date
2019-01-09 1.0 1.0 0.0
2019-01-10 1.0 0.0 1.0
2019-05-13 0.0 -1.0 0.0
2019-05-14 0.0 0.0 -1.0
2019-07-16 1.0 1.0 0.0
2019-07-17 1.0 0.0 1.0
2020-03-02 0.0 -1.0 0.0
2020-03-03 0.0 0.0 -1.0
2020-04-29 1.0 1.0 0.0
2020-04-30 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_026_SlowMA_45_FastMA_20
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-10 1074.94 1078.83 1058.069469 1058.062893 0.006576
2019-01-11 1069.90 1064.47 1058.680886 1058.364346 0.316540
2019-01-14 1053.34 1051.51 1057.996077 1058.042998 -0.046921
2019-01-15 1058.01 1086.51 1060.718403 1059.373071 1.345332
2019-01-16 1090.00 1089.51 1063.466593 1060.776614 2.689978
2019-05-14 1142.32 1124.86 1189.185072 1190.202962 -1.017889
2019-05-15 1122.55 1170.80 1187.434112 1189.357888 -1.923776
2019-07-18 1142.00 1147.24 1127.668892 1127.621665 0.047226
2019-07-19 1149.32 1131.55 1128.038521 1127.792503 0.246018
2020-03-05 1345.55 1314.76 1410.107063 1415.259532 -5.152469
2020-03-06 1269.95 1295.74 1399.214962 1410.063030 -10.848068
2020-05-01 1324.09 1317.32 1257.397702 1255.150172 2.247530
2020-05-04 1308.13 1322.90 1263.636016 1258.095817 5.540199
trade_signal signal_change entry_exit
date
2019-01-10 1.0 1.0 0.0
2019-01-11 1.0 0.0 1.0
2019-01-14 0.0 -1.0 0.0
2019-01-15 1.0 1.0 -1.0
2019-01-16 1.0 0.0 1.0
2019-05-14 0.0 -1.0 0.0
2019-05-15 0.0 0.0 -1.0
2019-07-18 1.0 1.0 0.0
2019-07-19 1.0 0.0 1.0
2020-03-05 0.0 -1.0 0.0
2020-03-06 0.0 0.0 -1.0
2020-05-01 1.0 1.0 0.0
2020-05-04 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_027_SlowMA_50_FastMA_05
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-07 1080.97 1075.92 1059.690577 1054.990327 4.700250
2019-01-08 1086.00 1085.37 1068.250385 1056.330093 11.920291
2019-05-07 1185.81 1178.86 1191.430155 1195.807023 -4.376868
2019-05-08 1177.29 1170.78 1184.546770 1194.821627 -10.274857
2019-07-10 1132.32 1140.91 1126.072952 1123.708188 2.364764
2019-07-11 1146.16 1144.08 1132.075301 1124.507633 7.567668
2020-02-26 1394.98 1390.47 1428.033753 1429.902040 -1.868287
2020-02-27 1359.14 1314.95 1390.339169 1425.394112 -35.054943
2020-04-17 1281.70 1279.00 1252.389935 1246.781579 5.608356
2020-04-20 1269.89 1261.15 1255.309956 1247.345046 7.964910
2020-04-21 1242.71 1212.16 1240.926638 1245.965240 -5.038603
2020-04-22 1241.11 1258.41 1246.754425 1246.453270 0.301155
2020-04-23 1265.74 1271.17 1254.892950 1247.422554 7.470396
trade_signal signal_change entry_exit
date
2019-01-07 1.0 1.0 0.0
2019-01-08 1.0 0.0 1.0
2019-05-07 0.0 -1.0 0.0
2019-05-08 0.0 0.0 -1.0
2019-07-10 1.0 1.0 0.0
2019-07-11 1.0 0.0 1.0
2020-02-26 0.0 -1.0 0.0
2020-02-27 0.0 0.0 -1.0
2020-04-17 1.0 1.0 0.0
2020-04-20 1.0 0.0 1.0
2020-04-21 0.0 -1.0 0.0
2020-04-22 1.0 1.0 -1.0
2020-04-23 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_028_SlowMA_50_FastMA_10
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-08 1086.00 1085.37 1057.463145 1056.330093 1.133051
2019-01-09 1087.99 1081.65 1061.860813 1057.441292 4.419521
2019-05-10 1168.84 1167.64 1189.201447 1192.736264 -3.534817
2019-05-13 1145.24 1136.59 1179.635730 1190.526605 -10.890876
2019-07-12 1142.93 1145.34 1126.184710 1125.325129 0.859580
2019-07-15 1145.34 1150.51 1130.607490 1126.313400 4.294090
2020-02-28 1274.31 1339.25 1412.872286 1422.015907 -9.143621
2020-03-02 1351.39 1386.32 1408.044598 1420.616066 -12.571468
2020-04-27 1292.00 1270.86 1250.997185 1249.441012 1.556173
2020-04-28 1283.20 1232.59 1247.650424 1248.780188 -1.129764
2020-04-29 1345.00 1342.18 1264.837620 1252.442927 12.394693
2020-04-30 1331.36 1346.70 1279.721689 1256.139283 23.582406
trade_signal signal_change entry_exit
date
2019-01-08 1.0 1.0 0.0
2019-01-09 1.0 0.0 1.0
2019-05-10 0.0 -1.0 0.0
2019-05-13 0.0 0.0 -1.0
2019-07-12 1.0 1.0 0.0
2019-07-15 1.0 0.0 1.0
2020-02-28 0.0 -1.0 0.0
2020-03-02 0.0 0.0 -1.0
2020-04-27 1.0 1.0 0.0
2020-04-28 0.0 -1.0 1.0
2020-04-29 1.0 1.0 -1.0
2020-04-30 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_029_SlowMA_50_FastMA_15
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-10 1074.94 1078.83 1060.068052 1058.375601 1.692451
2019-01-11 1069.90 1064.47 1060.618534 1058.640635 1.977899
2019-05-13 1145.24 1136.59 1190.345166 1190.526605 -0.181439
2019-05-14 1142.32 1124.86 1182.159520 1187.942630 -5.783110
2019-07-16 1146.73 1153.46 1127.468400 1127.378623 0.089777
2019-07-17 1150.92 1146.74 1129.877350 1128.138338 1.739012
2020-03-03 1397.68 1337.72 1414.335785 1417.365237 -3.029451
2020-03-04 1358.96 1381.60 1410.243812 1415.962677 -5.718865
2020-04-30 1331.36 1346.70 1262.244092 1256.139283 6.104809
2020-05-01 1324.09 1317.32 1269.128581 1258.538528 10.590053
trade_signal signal_change entry_exit
date
2019-01-10 1.0 1.0 0.0
2019-01-11 1.0 0.0 1.0
2019-05-13 0.0 -1.0 0.0
2019-05-14 0.0 0.0 -1.0
2019-07-16 1.0 1.0 0.0
2019-07-17 1.0 0.0 1.0
2020-03-03 0.0 -1.0 0.0
2020-03-04 0.0 0.0 -1.0
2020-04-30 1.0 1.0 0.0
2020-05-01 1.0 0.0 1.0
List the signal change and entry/exit points for EMA_030_SlowMA_50_FastMA_20
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-11 1069.90 1064.47 1058.680886 1058.640635 0.040251
2019-01-14 1053.34 1051.51 1057.996077 1058.331856 -0.335779
2019-01-15 1058.01 1086.51 1060.718403 1059.547090 1.171314
2019-01-16 1090.00 1089.51 1063.466593 1060.834260 2.632332
2019-05-16 1171.84 1184.50 1187.154673 1187.159262 -0.004589
2019-05-17 1175.83 1168.78 1185.404703 1186.436319 -1.031617
2019-07-23 1143.45 1148.05 1130.906998 1130.125208 0.781790
2019-07-24 1132.62 1139.73 1131.747284 1130.502047 1.245236
2020-03-05 1345.55 1314.76 1410.107063 1411.993941 -1.886878
2020-03-06 1269.95 1295.74 1399.214962 1407.434958 -8.219997
2020-05-04 1308.13 1322.90 1263.636016 1261.062507 2.573509
2020-05-05 1337.50 1349.02 1271.767824 1264.511821 7.256003
trade_signal signal_change entry_exit
date
2019-01-11 1.0 1.0 0.0
2019-01-14 0.0 -1.0 1.0
2019-01-15 1.0 1.0 -1.0
2019-01-16 1.0 0.0 1.0
2019-05-16 0.0 -1.0 0.0
2019-05-17 0.0 0.0 -1.0
2019-07-23 1.0 1.0 0.0
2019-07-24 1.0 0.0 1.0
2020-03-05 0.0 -1.0 0.0
2020-03-06 0.0 0.0 -1.0
2020-05-04 1.0 1.0 0.0
2020-05-05 1.0 0.0 1.0
In [17]:
if verbose:
for key in model_collection:
graph_data = model_collection[key].copy()
title_string = "Exponential Moving Average Crossover Model for " + key
fig = plt.figure(figsize=(16,9))
ylabel = stock_symbol + ' price in $'
ax1 = fig.add_subplot(111, ylabel=ylabel, title=title_string)
graph_data['fast_ma'].plot(ax=ax1, color='b', lw=2.)
graph_data['slow_ma'].plot(ax=ax1, color='r', lw=2.)
graph_data['close_price'].plot(ax=ax1, color='g')
ax1.plot(graph_data.loc[graph_data.entry_exit == 1].index, graph_data.close_price[graph_data.entry_exit == 1], '^', markersize=7, color='k',label='buy')
ax1.plot(graph_data.loc[graph_data.entry_exit == -1].index, graph_data.close_price[graph_data.entry_exit == -1], 'v', markersize=7, color='k',label='sell')
plt.legend(loc='upper left')
plt.show()
Task 4. Back-test Model¶
In [18]:
def trading_portfolio_generation(initial_fund, trading_model):
# Construct a portfolio to track the transactions and returns
portfolio = pd.DataFrame(index=trading_model.index, columns=['trade_action', 'qty_onhand', 'cost_basis', 'sold_transaction', 'gain_loss', 'cash_onhand', 'position_value', 'total_position', 'accumu_return'])
portfolio.iloc[0]['trade_action'] = 0
portfolio.iloc[0]['qty_onhand'] = 0
portfolio.iloc[0]['cost_basis'] = 0.00
portfolio.iloc[0]['sold_transaction'] = 0.00
portfolio.iloc[0]['gain_loss'] = 0.00
portfolio.iloc[0]['cash_onhand'] = initial_capital
portfolio.iloc[0]['position_value'] = 0.00
portfolio.iloc[0]['total_position'] = initial_capital
portfolio.iloc[0]['accumu_return'] = portfolio.iloc[0]['total_position'] - initial_fund
recent_cost = 0
# The conditional parameters below determine how the trading strategy will be carried out
for i in range(1, len(portfolio)):
if (trading_model.iloc[i]['entry_exit'] == 1) and (portfolio.iloc[i-1]['qty_onhand'] == 0):
portfolio.iloc[i]['trade_action'] = 1
portfolio.iloc[i]['qty_onhand'] = portfolio.iloc[i-1]['qty_onhand'] + portfolio.iloc[i]['trade_action']
portfolio.iloc[i]['cost_basis'] = trading_model.iloc[i]['open_price'] * portfolio.iloc[i]['trade_action']
portfolio.iloc[i]['sold_transaction'] = 0.00
portfolio.iloc[i]['gain_loss'] = 0.00
portfolio.iloc[i]['cash_onhand'] = portfolio.iloc[i-1]['cash_onhand'] - portfolio.iloc[i]['cost_basis']
recent_cost = trading_model.iloc[i]['open_price'] * portfolio.iloc[i]['trade_action']
if verbose: print('BOUGHT QTY:', portfolio.iloc[i]['trade_action'], 'on', portfolio.index[i], 'at the price of', trading_model.iloc[i]['open_price'])
elif (trading_model.iloc[i]['entry_exit'] == -1) and (portfolio.iloc[i-1]['qty_onhand'] > 0):
portfolio.iloc[i]['trade_action'] = -1
portfolio.iloc[i]['qty_onhand'] = portfolio.iloc[i-1]['qty_onhand'] + portfolio.iloc[i]['trade_action']
portfolio.iloc[i]['cost_basis'] = 0.00
portfolio.iloc[i]['sold_transaction'] = trading_model.iloc[i]['open_price'] * portfolio.iloc[i]['trade_action'] * -1
portfolio.iloc[i]['gain_loss'] = (recent_cost + (trading_model.iloc[i]['open_price'] * portfolio.iloc[i]['trade_action'])) * -1
portfolio.iloc[i]['cash_onhand'] = portfolio.iloc[i-1]['cash_onhand'] + portfolio.iloc[i]['sold_transaction']
recent_cost = 0.00
if verbose: print('SOLD QTY:', portfolio.iloc[i]['trade_action'], 'on', portfolio.index[i], 'at the price of', trading_model.iloc[i]['open_price'])
else:
portfolio.iloc[i]['trade_action'] = 0
portfolio.iloc[i]['qty_onhand'] = portfolio.iloc[i-1]['qty_onhand']
portfolio.iloc[i]['cost_basis'] = portfolio.iloc[i-1]['cost_basis']
portfolio.iloc[i]['sold_transaction'] = 0.00
portfolio.iloc[i]['gain_loss'] = 0.00
portfolio.iloc[i]['cash_onhand'] = portfolio.iloc[i-1]['cash_onhand']
portfolio.iloc[i]['position_value'] = trading_model.iloc[i]['close_price'] * portfolio.iloc[i]['qty_onhand']
portfolio.iloc[i]['total_position'] = portfolio.iloc[i]['cash_onhand'] + portfolio.iloc[i]['position_value']
portfolio.iloc[i]['accumu_return'] = portfolio.iloc[i]['total_position'] - initial_fund
return portfolio
In [19]:
portfolio_collection = {}
# Build dataframe for reporting model performance summary
performance_summary = pd.DataFrame(columns=['model_name','return_value','return_percent'])
for key in model_collection:
print('Processing portfolio for model:', key)
portfolio_collection[key] = trading_portfolio_generation(initial_capital, model_collection[key])
trade_transactions = portfolio_collection[key][portfolio_collection[key].trade_action != 0]
print(trade_transactions)
print('Accumulated profit/loss for one share of stock with initial capital of $%.0f at the end of modeling period: $%.2f' % (initial_capital, portfolio_collection[key].accumu_return[-1]))
if initial_capital != 0:
return_percentage = portfolio_collection[key].accumu_return[-1] / initial_capital * 100
print('Accumulated return percentage based on the initial capital investment: %.2f%%' % (return_percentage))
else:
return_percentage = None
if trade_transactions.iloc[-1]['trade_action'] == 1:
print('The current status of the model is:', 'Holding a position since', trade_transactions.index.tolist()[-1], '\n')
else:
print('The current status of the model is:', 'Waiting to enter since', trade_transactions.index.tolist()[-1], '\n')
performance_summary = performance_summary.append({'model_name': key, 'return_value': portfolio_collection[key].accumu_return[-1],
'return_percent': return_percentage}, ignore_index=True)
Processing portfolio for model: EMA_001_SlowMA_10_FastMA_05
BOUGHT QTY: 1 on 2019-01-07 00:00:00 at the price of 1080.97
SOLD QTY: -1 on 2019-01-30 00:00:00 at the price of 1077.36
BOUGHT QTY: 1 on 2019-01-31 00:00:00 at the price of 1112.24
SOLD QTY: -1 on 2019-02-22 00:00:00 at the price of 1109.7
BOUGHT QTY: 1 on 2019-02-27 00:00:00 at the price of 1114.01
SOLD QTY: -1 on 2019-03-28 00:00:00 at the price of 1175.5
BOUGHT QTY: 1 on 2019-04-03 00:00:00 at the price of 1212.7
SOLD QTY: -1 on 2019-05-02 00:00:00 at the price of 1172.6
BOUGHT QTY: 1 on 2019-06-18 00:00:00 at the price of 1111.5
SOLD QTY: -1 on 2019-06-27 00:00:00 at the price of 1086.75
BOUGHT QTY: 1 on 2019-07-03 00:00:00 at the price of 1118.5
SOLD QTY: -1 on 2019-08-07 00:00:00 at the price of 1157.8
BOUGHT QTY: 1 on 2019-08-09 00:00:00 at the price of 1199.99
SOLD QTY: -1 on 2019-08-13 00:00:00 at the price of 1174.35
BOUGHT QTY: 1 on 2019-08-14 00:00:00 at the price of 1176.07
SOLD QTY: -1 on 2019-08-15 00:00:00 at the price of 1168.43
BOUGHT QTY: 1 on 2019-08-20 00:00:00 at the price of 1195.35
SOLD QTY: -1 on 2019-08-26 00:00:00 at the price of 1159.45
BOUGHT QTY: 1 on 2019-08-30 00:00:00 at the price of 1200.35
SOLD QTY: -1 on 2019-09-04 00:00:00 at the price of 1179.45
BOUGHT QTY: 1 on 2019-09-05 00:00:00 at the price of 1193.66
SOLD QTY: -1 on 2019-10-02 00:00:00 at the price of 1196.5
BOUGHT QTY: 1 on 2019-10-15 00:00:00 at the price of 1221.5
SOLD QTY: -1 on 2019-11-25 00:00:00 at the price of 1296.26
BOUGHT QTY: 1 on 2019-11-26 00:00:00 at the price of 1309.91
SOLD QTY: -1 on 2019-12-03 00:00:00 at the price of 1278.66
BOUGHT QTY: 1 on 2019-12-05 00:00:00 at the price of 1327.0
SOLD QTY: -1 on 2020-01-02 00:00:00 at the price of 1348.41
BOUGHT QTY: 1 on 2020-01-03 00:00:00 at the price of 1348.0
SOLD QTY: -1 on 2020-02-03 00:00:00 at the price of 1461.65
BOUGHT QTY: 1 on 2020-02-04 00:00:00 at the price of 1454.49
SOLD QTY: -1 on 2020-02-06 00:00:00 at the price of 1451.98
BOUGHT QTY: 1 on 2020-02-07 00:00:00 at the price of 1467.38
SOLD QTY: -1 on 2020-02-25 00:00:00 at the price of 1431.0
BOUGHT QTY: 1 on 2020-04-01 00:00:00 at the price of 1124.0
SOLD QTY: -1 on 2020-04-02 00:00:00 at the price of 1100.0
BOUGHT QTY: 1 on 2020-04-07 00:00:00 at the price of 1217.01
SOLD QTY: -1 on 2020-06-15 00:00:00 at the price of 1389.49
BOUGHT QTY: 1 on 2020-06-17 00:00:00 at the price of 1452.94
SOLD QTY: -1 on 2020-06-29 00:00:00 at the price of 1360.34
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-07 1 1 1080.97 0 0
2019-01-30 -1 0 0 1077.36 -3.61
2019-01-31 1 1 1112.24 0 0
2019-02-22 -1 0 0 1109.7 -2.54
2019-02-27 1 1 1114.01 0 0
2019-03-28 -1 0 0 1175.5 61.49
2019-04-03 1 1 1212.7 0 0
2019-05-02 -1 0 0 1172.6 -40.1
2019-06-18 1 1 1111.5 0 0
2019-06-27 -1 0 0 1086.75 -24.75
2019-07-03 1 1 1118.5 0 0
2019-08-07 -1 0 0 1157.8 39.3
2019-08-09 1 1 1199.99 0 0
2019-08-13 -1 0 0 1174.35 -25.64
2019-08-14 1 1 1176.07 0 0
2019-08-15 -1 0 0 1168.43 -7.64
2019-08-20 1 1 1195.35 0 0
2019-08-26 -1 0 0 1159.45 -35.9
2019-08-30 1 1 1200.35 0 0
2019-09-04 -1 0 0 1179.45 -20.9
2019-09-05 1 1 1193.66 0 0
2019-10-02 -1 0 0 1196.5 2.84
2019-10-15 1 1 1221.5 0 0
2019-11-25 -1 0 0 1296.26 74.76
2019-11-26 1 1 1309.91 0 0
2019-12-03 -1 0 0 1278.66 -31.25
2019-12-05 1 1 1327 0 0
2020-01-02 -1 0 0 1348.41 21.41
2020-01-03 1 1 1348 0 0
2020-02-03 -1 0 0 1461.65 113.65
2020-02-04 1 1 1454.49 0 0
2020-02-06 -1 0 0 1451.98 -2.51
2020-02-07 1 1 1467.38 0 0
2020-02-25 -1 0 0 1431 -36.38
2020-04-01 1 1 1124 0 0
2020-04-02 -1 0 0 1100 -24
2020-04-07 1 1 1217.01 0 0
2020-06-15 -1 0 0 1389.49 172.48
2020-06-17 1 1 1452.94 0 0
2020-06-29 -1 0 0 1360.34 -92.6
cash_onhand position_value total_position accumu_return
date
2019-01-07 -1080.97 1075.92 -5.05 -5.05
2019-01-30 -3.61 0 -3.61 -3.61
2019-01-31 -1115.85 1125.89 10.04 10.04
2019-02-22 -6.15 0 -6.15 -6.15
2019-02-27 -1120.16 1122.89 2.73 2.73
2019-03-28 55.34 0 55.34 55.34
2019-04-03 -1157.36 1210.81 53.45 53.45
2019-05-02 15.24 0 15.24 15.24
2019-06-18 -1096.26 1105.24 8.98 8.98
2019-06-27 -9.51 0 -9.51 -9.51
2019-07-03 -1128.01 1122.99 -5.02 -5.02
2019-08-07 29.79 0 29.79 29.79
2019-08-09 -1170.2 1188.9 18.7 18.7
2019-08-13 4.15 0 4.15 4.15
2019-08-14 -1171.92 1164.25 -7.67 -7.67
2019-08-15 -3.49 0 -3.49 -3.49
2019-08-20 -1198.84 1183.53 -15.31 -15.31
2019-08-26 -39.39 0 -39.39 -39.39
2019-08-30 -1239.74 1190.53 -49.21 -49.21
2019-09-04 -60.29 0 -60.29 -60.29
2019-09-05 -1253.95 1212.19 -41.76 -41.76
2019-10-02 -57.45 0 -57.45 -57.45
2019-10-15 -1278.95 1242.24 -36.71 -36.71
2019-11-25 17.31 0 17.31 17.31
2019-11-26 -1292.6 1313 20.4 20.4
2019-12-03 -13.94 0 -13.94 -13.94
2019-12-05 -1340.94 1326.96 -13.98 -13.98
2020-01-02 7.47 0 7.47 7.47
2020-01-03 -1340.53 1361.52 20.99 20.99
2020-02-03 121.12 0 121.12 121.12
2020-02-04 -1333.37 1445.41 112.04 112.04
2020-02-06 118.61 0 118.61 118.61
2020-02-07 -1348.77 1479.11 130.34 130.34
2020-02-25 82.23 0 82.23 82.23
2020-04-01 -1041.77 1102.1 60.33 60.33
2020-04-02 58.23 0 58.23 58.23
2020-04-07 -1158.78 1182.56 23.78 23.78
2020-06-15 230.71 0 230.71 230.71
2020-06-17 -1222.23 1452.54 230.31 230.31
2020-06-29 138.11 0 138.11 138.11
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $138.11
The current status of the model is: Waiting to enter since 2020-06-29 00:00:00
Processing portfolio for model: EMA_002_SlowMA_15_FastMA_05
BOUGHT QTY: 1 on 2019-01-07 00:00:00 at the price of 1080.97
SOLD QTY: -1 on 2019-04-01 00:00:00 at the price of 1187.54
BOUGHT QTY: 1 on 2019-04-02 00:00:00 at the price of 1200.05
SOLD QTY: -1 on 2019-05-02 00:00:00 at the price of 1172.6
BOUGHT QTY: 1 on 2019-06-20 00:00:00 at the price of 1121.7
SOLD QTY: -1 on 2019-06-27 00:00:00 at the price of 1086.75
BOUGHT QTY: 1 on 2019-07-03 00:00:00 at the price of 1118.5
SOLD QTY: -1 on 2019-08-15 00:00:00 at the price of 1168.43
BOUGHT QTY: 1 on 2019-08-20 00:00:00 at the price of 1195.35
SOLD QTY: -1 on 2019-08-26 00:00:00 at the price of 1159.45
BOUGHT QTY: 1 on 2019-08-30 00:00:00 at the price of 1200.35
SOLD QTY: -1 on 2019-09-04 00:00:00 at the price of 1179.45
BOUGHT QTY: 1 on 2019-09-05 00:00:00 at the price of 1193.66
SOLD QTY: -1 on 2019-10-02 00:00:00 at the price of 1196.5
BOUGHT QTY: 1 on 2019-10-15 00:00:00 at the price of 1221.5
SOLD QTY: -1 on 2019-12-04 00:00:00 at the price of 1306.1
BOUGHT QTY: 1 on 2019-12-05 00:00:00 at the price of 1327.0
SOLD QTY: -1 on 2020-02-25 00:00:00 at the price of 1431.0
BOUGHT QTY: 1 on 2020-04-08 00:00:00 at the price of 1203.1
SOLD QTY: -1 on 2020-06-29 00:00:00 at the price of 1360.34
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-07 1 1 1080.97 0 0
2019-04-01 -1 0 0 1187.54 106.57
2019-04-02 1 1 1200.05 0 0
2019-05-02 -1 0 0 1172.6 -27.45
2019-06-20 1 1 1121.7 0 0
2019-06-27 -1 0 0 1086.75 -34.95
2019-07-03 1 1 1118.5 0 0
2019-08-15 -1 0 0 1168.43 49.93
2019-08-20 1 1 1195.35 0 0
2019-08-26 -1 0 0 1159.45 -35.9
2019-08-30 1 1 1200.35 0 0
2019-09-04 -1 0 0 1179.45 -20.9
2019-09-05 1 1 1193.66 0 0
2019-10-02 -1 0 0 1196.5 2.84
2019-10-15 1 1 1221.5 0 0
2019-12-04 -1 0 0 1306.1 84.6
2019-12-05 1 1 1327 0 0
2020-02-25 -1 0 0 1431 104
2020-04-08 1 1 1203.1 0 0
2020-06-29 -1 0 0 1360.34 157.24
cash_onhand position_value total_position accumu_return
date
2019-01-07 -1080.97 1075.92 -5.05 -5.05
2019-04-01 106.57 0 106.57 106.57
2019-04-02 -1093.48 1205.54 112.06 112.06
2019-05-02 79.12 0 79.12 79.12
2019-06-20 -1042.58 1113.2 70.62 70.62
2019-06-27 44.17 0 44.17 44.17
2019-07-03 -1074.33 1122.99 48.66 48.66
2019-08-15 94.1 0 94.1 94.1
2019-08-20 -1101.25 1183.53 82.28 82.28
2019-08-26 58.2 0 58.2 58.2
2019-08-30 -1142.15 1190.53 48.38 48.38
2019-09-04 37.3 0 37.3 37.3
2019-09-05 -1156.36 1212.19 55.83 55.83
2019-10-02 40.14 0 40.14 40.14
2019-10-15 -1181.36 1242.24 60.88 60.88
2019-12-04 124.74 0 124.74 124.74
2019-12-05 -1202.26 1326.96 124.7 124.7
2020-02-25 228.74 0 228.74 228.74
2020-04-08 -974.36 1207 232.64 232.64
2020-06-29 385.98 0 385.98 385.98
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $385.98
The current status of the model is: Waiting to enter since 2020-06-29 00:00:00
Processing portfolio for model: EMA_003_SlowMA_15_FastMA_10
BOUGHT QTY: 1 on 2019-01-07 00:00:00 at the price of 1080.97
SOLD QTY: -1 on 2019-05-03 00:00:00 at the price of 1177.41
BOUGHT QTY: 1 on 2019-06-24 00:00:00 at the price of 1120.0
SOLD QTY: -1 on 2019-06-26 00:00:00 at the price of 1091.0
BOUGHT QTY: 1 on 2019-07-05 00:00:00 at the price of 1119.37
SOLD QTY: -1 on 2019-08-26 00:00:00 at the price of 1159.45
BOUGHT QTY: 1 on 2019-08-30 00:00:00 at the price of 1200.35
SOLD QTY: -1 on 2019-09-04 00:00:00 at the price of 1179.45
BOUGHT QTY: 1 on 2019-09-05 00:00:00 at the price of 1193.66
SOLD QTY: -1 on 2019-10-03 00:00:00 at the price of 1183.34
BOUGHT QTY: 1 on 2019-10-16 00:00:00 at the price of 1241.81
SOLD QTY: -1 on 2020-02-26 00:00:00 at the price of 1394.98
BOUGHT QTY: 1 on 2020-04-13 00:00:00 at the price of 1201.5
SOLD QTY: -1 on 2020-06-29 00:00:00 at the price of 1360.34
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-07 1 1 1080.97 0 0
2019-05-03 -1 0 0 1177.41 96.44
2019-06-24 1 1 1120 0 0
2019-06-26 -1 0 0 1091 -29
2019-07-05 1 1 1119.37 0 0
2019-08-26 -1 0 0 1159.45 40.08
2019-08-30 1 1 1200.35 0 0
2019-09-04 -1 0 0 1179.45 -20.9
2019-09-05 1 1 1193.66 0 0
2019-10-03 -1 0 0 1183.34 -10.32
2019-10-16 1 1 1241.81 0 0
2020-02-26 -1 0 0 1394.98 153.17
2020-04-13 1 1 1201.5 0 0
2020-06-29 -1 0 0 1360.34 158.84
cash_onhand position_value total_position accumu_return
date
2019-01-07 -1080.97 1075.92 -5.05 -5.05
2019-05-03 96.44 0 96.44 96.44
2019-06-24 -1023.56 1116.7 93.14 93.14
2019-06-26 67.44 0 67.44 67.44
2019-07-05 -1051.93 1132.66 80.73 80.73
2019-08-26 107.52 0 107.52 107.52
2019-08-30 -1092.83 1190.53 97.7 97.7
2019-09-04 86.62 0 86.62 86.62
2019-09-05 -1107.04 1212.19 105.15 105.15
2019-10-03 76.3 0 76.3 76.3
2019-10-16 -1165.51 1243 77.49 77.49
2020-02-26 229.47 0 229.47 229.47
2020-04-13 -972.03 1210.41 238.38 238.38
2020-06-29 388.31 0 388.31 388.31
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $388.31
The current status of the model is: Waiting to enter since 2020-06-29 00:00:00
Processing portfolio for model: EMA_004_SlowMA_20_FastMA_05
BOUGHT QTY: 1 on 2019-01-07 00:00:00 at the price of 1080.97
SOLD QTY: -1 on 2019-05-02 00:00:00 at the price of 1172.6
BOUGHT QTY: 1 on 2019-06-24 00:00:00 at the price of 1120.0
SOLD QTY: -1 on 2019-06-26 00:00:00 at the price of 1091.0
BOUGHT QTY: 1 on 2019-07-05 00:00:00 at the price of 1119.37
SOLD QTY: -1 on 2019-08-26 00:00:00 at the price of 1159.45
BOUGHT QTY: 1 on 2019-08-30 00:00:00 at the price of 1200.35
SOLD QTY: -1 on 2019-10-03 00:00:00 at the price of 1183.34
BOUGHT QTY: 1 on 2019-10-15 00:00:00 at the price of 1221.5
SOLD QTY: -1 on 2020-02-25 00:00:00 at the price of 1431.0
BOUGHT QTY: 1 on 2020-04-09 00:00:00 at the price of 1218.18
SOLD QTY: -1 on 2020-06-29 00:00:00 at the price of 1360.34
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-07 1 1 1080.97 0 0
2019-05-02 -1 0 0 1172.6 91.63
2019-06-24 1 1 1120 0 0
2019-06-26 -1 0 0 1091 -29
2019-07-05 1 1 1119.37 0 0
2019-08-26 -1 0 0 1159.45 40.08
2019-08-30 1 1 1200.35 0 0
2019-10-03 -1 0 0 1183.34 -17.01
2019-10-15 1 1 1221.5 0 0
2020-02-25 -1 0 0 1431 209.5
2020-04-09 1 1 1218.18 0 0
2020-06-29 -1 0 0 1360.34 142.16
cash_onhand position_value total_position accumu_return
date
2019-01-07 -1080.97 1075.92 -5.05 -5.05
2019-05-02 91.63 0 91.63 91.63
2019-06-24 -1028.37 1116.7 88.33 88.33
2019-06-26 62.63 0 62.63 62.63
2019-07-05 -1056.74 1132.66 75.92 75.92
2019-08-26 102.71 0 102.71 102.71
2019-08-30 -1097.64 1190.53 92.89 92.89
2019-10-03 85.7 0 85.7 85.7
2019-10-15 -1135.8 1242.24 106.44 106.44
2020-02-25 295.2 0 295.2 295.2
2020-04-09 -922.98 1206.57 283.59 283.59
2020-06-29 437.36 0 437.36 437.36
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $437.36
The current status of the model is: Waiting to enter since 2020-06-29 00:00:00
Processing portfolio for model: EMA_005_SlowMA_20_FastMA_10
BOUGHT QTY: 1 on 2019-01-08 00:00:00 at the price of 1086.0
SOLD QTY: -1 on 2019-05-03 00:00:00 at the price of 1177.41
BOUGHT QTY: 1 on 2019-07-08 00:00:00 at the price of 1125.87
SOLD QTY: -1 on 2019-08-29 00:00:00 at the price of 1186.42
BOUGHT QTY: 1 on 2019-08-30 00:00:00 at the price of 1200.35
SOLD QTY: -1 on 2019-10-04 00:00:00 at the price of 1194.29
BOUGHT QTY: 1 on 2019-10-16 00:00:00 at the price of 1241.81
SOLD QTY: -1 on 2020-02-26 00:00:00 at the price of 1394.98
BOUGHT QTY: 1 on 2020-04-15 00:00:00 at the price of 1246.51
SOLD QTY: -1 on 2020-06-30 00:00:00 at the price of 1396.88
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-08 1 1 1086 0 0
2019-05-03 -1 0 0 1177.41 91.41
2019-07-08 1 1 1125.87 0 0
2019-08-29 -1 0 0 1186.42 60.55
2019-08-30 1 1 1200.35 0 0
2019-10-04 -1 0 0 1194.29 -6.06
2019-10-16 1 1 1241.81 0 0
2020-02-26 -1 0 0 1394.98 153.17
2020-04-15 1 1 1246.51 0 0
2020-06-30 -1 0 0 1396.88 150.37
cash_onhand position_value total_position accumu_return
date
2019-01-08 -1086 1085.37 -0.63 -0.63
2019-05-03 91.41 0 91.41 91.41
2019-07-08 -1034.46 1116.79 82.33 82.33
2019-08-29 151.96 0 151.96 151.96
2019-08-30 -1048.39 1190.53 142.14 142.14
2019-10-04 145.9 0 145.9 145.9
2019-10-16 -1095.91 1243 147.09 147.09
2020-02-26 299.07 0 299.07 299.07
2020-04-15 -947.44 1257.3 309.86 309.86
2020-06-30 449.44 0 449.44 449.44
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $449.44
The current status of the model is: Waiting to enter since 2020-06-30 00:00:00
Processing portfolio for model: EMA_006_SlowMA_20_FastMA_15
BOUGHT QTY: 1 on 2019-01-09 00:00:00 at the price of 1087.99
SOLD QTY: -1 on 2019-05-07 00:00:00 at the price of 1185.81
BOUGHT QTY: 1 on 2019-07-10 00:00:00 at the price of 1132.32
SOLD QTY: -1 on 2019-10-09 00:00:00 at the price of 1201.33
BOUGHT QTY: 1 on 2019-10-15 00:00:00 at the price of 1221.5
SOLD QTY: -1 on 2020-02-27 00:00:00 at the price of 1359.14
BOUGHT QTY: 1 on 2020-04-17 00:00:00 at the price of 1281.7
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-09 1 1 1087.99 0 0
2019-05-07 -1 0 0 1185.81 97.82
2019-07-10 1 1 1132.32 0 0
2019-10-09 -1 0 0 1201.33 69.01
2019-10-15 1 1 1221.5 0 0
2020-02-27 -1 0 0 1359.14 137.64
2020-04-17 1 1 1281.7 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-09 -1087.99 1081.65 -6.34 -6.34
2019-05-07 97.82 0 97.82 97.82
2019-07-10 -1034.5 1140.91 106.41 106.41
2019-10-09 166.83 0 166.83 166.83
2019-10-15 -1054.67 1242.24 187.57 187.57
2020-02-27 304.47 0 304.47 304.47
2020-04-17 -977.23 1279 301.77 301.77
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $440.82
The current status of the model is: Holding a position since 2020-04-17 00:00:00
Processing portfolio for model: EMA_007_SlowMA_25_FastMA_05
BOUGHT QTY: 1 on 2019-01-07 00:00:00 at the price of 1080.97
SOLD QTY: -1 on 2019-05-02 00:00:00 at the price of 1172.6
BOUGHT QTY: 1 on 2019-06-25 00:00:00 at the price of 1115.08
SOLD QTY: -1 on 2019-06-26 00:00:00 at the price of 1091.0
BOUGHT QTY: 1 on 2019-07-05 00:00:00 at the price of 1119.37
SOLD QTY: -1 on 2019-08-27 00:00:00 at the price of 1183.0
BOUGHT QTY: 1 on 2019-08-30 00:00:00 at the price of 1200.35
SOLD QTY: -1 on 2019-10-03 00:00:00 at the price of 1183.34
BOUGHT QTY: 1 on 2019-10-15 00:00:00 at the price of 1221.5
SOLD QTY: -1 on 2020-02-26 00:00:00 at the price of 1394.98
BOUGHT QTY: 1 on 2020-04-14 00:00:00 at the price of 1239.97
SOLD QTY: -1 on 2020-06-29 00:00:00 at the price of 1360.34
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-07 1 1 1080.97 0 0
2019-05-02 -1 0 0 1172.6 91.63
2019-06-25 1 1 1115.08 0 0
2019-06-26 -1 0 0 1091 -24.08
2019-07-05 1 1 1119.37 0 0
2019-08-27 -1 0 0 1183 63.63
2019-08-30 1 1 1200.35 0 0
2019-10-03 -1 0 0 1183.34 -17.01
2019-10-15 1 1 1221.5 0 0
2020-02-26 -1 0 0 1394.98 173.48
2020-04-14 1 1 1239.97 0 0
2020-06-29 -1 0 0 1360.34 120.37
cash_onhand position_value total_position accumu_return
date
2019-01-07 -1080.97 1075.92 -5.05 -5.05
2019-05-02 91.63 0 91.63 91.63
2019-06-25 -1023.45 1087.58 64.13 64.13
2019-06-26 67.55 0 67.55 67.55
2019-07-05 -1051.82 1132.66 80.84 80.84
2019-08-27 131.18 0 131.18 131.18
2019-08-30 -1069.17 1190.53 121.36 121.36
2019-10-03 114.17 0 114.17 114.17
2019-10-15 -1107.33 1242.24 134.91 134.91
2020-02-26 287.65 0 287.65 287.65
2020-04-14 -952.32 1265.23 312.91 312.91
2020-06-29 408.02 0 408.02 408.02
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $408.02
The current status of the model is: Waiting to enter since 2020-06-29 00:00:00
Processing portfolio for model: EMA_008_SlowMA_25_FastMA_10
BOUGHT QTY: 1 on 2019-01-08 00:00:00 at the price of 1086.0
SOLD QTY: -1 on 2019-05-06 00:00:00 at the price of 1172.0
BOUGHT QTY: 1 on 2019-07-09 00:00:00 at the price of 1110.32
SOLD QTY: -1 on 2019-10-08 00:00:00 at the price of 1198.77
BOUGHT QTY: 1 on 2019-10-15 00:00:00 at the price of 1221.5
SOLD QTY: -1 on 2020-02-27 00:00:00 at the price of 1359.14
BOUGHT QTY: 1 on 2020-04-16 00:00:00 at the price of 1267.14
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-08 1 1 1086 0 0
2019-05-06 -1 0 0 1172 86
2019-07-09 1 1 1110.32 0 0
2019-10-08 -1 0 0 1198.77 88.45
2019-10-15 1 1 1221.5 0 0
2020-02-27 -1 0 0 1359.14 137.64
2020-04-16 1 1 1267.14 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-08 -1086 1085.37 -0.63 -0.63
2019-05-06 86 0 86 86
2019-07-09 -1024.32 1124.29 99.97 99.97
2019-10-08 174.45 0 174.45 174.45
2019-10-15 -1047.05 1242.24 195.19 195.19
2020-02-27 312.09 0 312.09 312.09
2020-04-16 -955.05 1257.43 302.38 302.38
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $463.00
The current status of the model is: Holding a position since 2020-04-16 00:00:00
Processing portfolio for model: EMA_009_SlowMA_25_FastMA_15
BOUGHT QTY: 1 on 2019-01-09 00:00:00 at the price of 1087.99
SOLD QTY: -1 on 2019-05-08 00:00:00 at the price of 1177.29
BOUGHT QTY: 1 on 2019-07-11 00:00:00 at the price of 1146.16
SOLD QTY: -1 on 2020-02-28 00:00:00 at the price of 1274.31
BOUGHT QTY: 1 on 2020-04-20 00:00:00 at the price of 1269.89
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-09 1 1 1087.99 0 0
2019-05-08 -1 0 0 1177.29 89.3
2019-07-11 1 1 1146.16 0 0
2020-02-28 -1 0 0 1274.31 128.15
2020-04-20 1 1 1269.89 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-09 -1087.99 1081.65 -6.34 -6.34
2019-05-08 89.3 0 89.3 89.3
2019-07-11 -1056.86 1144.08 87.22 87.22
2020-02-28 217.45 0 217.45 217.45
2020-04-20 -1052.44 1261.15 208.71 208.71
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $365.61
The current status of the model is: Holding a position since 2020-04-20 00:00:00
Processing portfolio for model: EMA_010_SlowMA_25_FastMA_20
BOUGHT QTY: 1 on 2019-01-10 00:00:00 at the price of 1074.94
SOLD QTY: -1 on 2019-05-10 00:00:00 at the price of 1168.84
BOUGHT QTY: 1 on 2019-07-15 00:00:00 at the price of 1145.34
SOLD QTY: -1 on 2020-03-02 00:00:00 at the price of 1351.39
BOUGHT QTY: 1 on 2020-04-24 00:00:00 at the price of 1255.0
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-10 1 1 1074.94 0 0
2019-05-10 -1 0 0 1168.84 93.9
2019-07-15 1 1 1145.34 0 0
2020-03-02 -1 0 0 1351.39 206.05
2020-04-24 1 1 1255 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-10 -1074.94 1078.83 3.89 3.89
2019-05-10 93.9 0 93.9 93.9
2019-07-15 -1051.44 1150.51 99.07 99.07
2020-03-02 299.95 0 299.95 299.95
2020-04-24 -955.05 1276.6 321.55 321.55
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $463.00
The current status of the model is: Holding a position since 2020-04-24 00:00:00
Processing portfolio for model: EMA_011_SlowMA_30_FastMA_05
BOUGHT QTY: 1 on 2019-01-07 00:00:00 at the price of 1080.97
SOLD QTY: -1 on 2019-05-03 00:00:00 at the price of 1177.41
BOUGHT QTY: 1 on 2019-07-08 00:00:00 at the price of 1125.87
SOLD QTY: -1 on 2019-10-03 00:00:00 at the price of 1183.34
BOUGHT QTY: 1 on 2019-10-14 00:00:00 at the price of 1213.89
SOLD QTY: -1 on 2020-02-26 00:00:00 at the price of 1394.98
BOUGHT QTY: 1 on 2020-04-15 00:00:00 at the price of 1246.51
SOLD QTY: -1 on 2020-06-30 00:00:00 at the price of 1396.88
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-07 1 1 1080.97 0 0
2019-05-03 -1 0 0 1177.41 96.44
2019-07-08 1 1 1125.87 0 0
2019-10-03 -1 0 0 1183.34 57.47
2019-10-14 1 1 1213.89 0 0
2020-02-26 -1 0 0 1394.98 181.09
2020-04-15 1 1 1246.51 0 0
2020-06-30 -1 0 0 1396.88 150.37
cash_onhand position_value total_position accumu_return
date
2019-01-07 -1080.97 1075.92 -5.05 -5.05
2019-05-03 96.44 0 96.44 96.44
2019-07-08 -1029.43 1116.79 87.36 87.36
2019-10-03 153.91 0 153.91 153.91
2019-10-14 -1059.98 1217.77 157.79 157.79
2020-02-26 335 0 335 335
2020-04-15 -911.51 1257.3 345.79 345.79
2020-06-30 485.37 0 485.37 485.37
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $485.37
The current status of the model is: Waiting to enter since 2020-06-30 00:00:00
Processing portfolio for model: EMA_012_SlowMA_30_FastMA_10
BOUGHT QTY: 1 on 2019-01-09 00:00:00 at the price of 1087.99
SOLD QTY: -1 on 2019-05-07 00:00:00 at the price of 1185.81
BOUGHT QTY: 1 on 2019-07-11 00:00:00 at the price of 1146.16
SOLD QTY: -1 on 2019-10-09 00:00:00 at the price of 1201.33
BOUGHT QTY: 1 on 2019-10-14 00:00:00 at the price of 1213.89
SOLD QTY: -1 on 2020-02-27 00:00:00 at the price of 1359.14
BOUGHT QTY: 1 on 2020-04-17 00:00:00 at the price of 1281.7
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-09 1 1 1087.99 0 0
2019-05-07 -1 0 0 1185.81 97.82
2019-07-11 1 1 1146.16 0 0
2019-10-09 -1 0 0 1201.33 55.17
2019-10-14 1 1 1213.89 0 0
2020-02-27 -1 0 0 1359.14 145.25
2020-04-17 1 1 1281.7 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-09 -1087.99 1081.65 -6.34 -6.34
2019-05-07 97.82 0 97.82 97.82
2019-07-11 -1048.34 1144.08 95.74 95.74
2019-10-09 152.99 0 152.99 152.99
2019-10-14 -1060.9 1217.77 156.87 156.87
2020-02-27 298.24 0 298.24 298.24
2020-04-17 -983.46 1279 295.54 295.54
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $434.59
The current status of the model is: Holding a position since 2020-04-17 00:00:00
Processing portfolio for model: EMA_013_SlowMA_30_FastMA_15
BOUGHT QTY: 1 on 2019-01-10 00:00:00 at the price of 1074.94
SOLD QTY: -1 on 2019-05-09 00:00:00 at the price of 1162.6
BOUGHT QTY: 1 on 2019-07-12 00:00:00 at the price of 1142.93
SOLD QTY: -1 on 2020-02-28 00:00:00 at the price of 1274.31
BOUGHT QTY: 1 on 2020-04-24 00:00:00 at the price of 1255.0
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-10 1 1 1074.94 0 0
2019-05-09 -1 0 0 1162.6 87.66
2019-07-12 1 1 1142.93 0 0
2020-02-28 -1 0 0 1274.31 131.38
2020-04-24 1 1 1255 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-10 -1074.94 1078.83 3.89 3.89
2019-05-09 87.66 0 87.66 87.66
2019-07-12 -1055.27 1145.34 90.07 90.07
2020-02-28 219.04 0 219.04 219.04
2020-04-24 -1035.96 1276.6 240.64 240.64
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $382.09
The current status of the model is: Holding a position since 2020-04-24 00:00:00
Processing portfolio for model: EMA_014_SlowMA_30_FastMA_20
BOUGHT QTY: 1 on 2019-01-10 00:00:00 at the price of 1074.94
SOLD QTY: -1 on 2019-05-13 00:00:00 at the price of 1145.24
BOUGHT QTY: 1 on 2019-07-16 00:00:00 at the price of 1146.73
SOLD QTY: -1 on 2020-03-02 00:00:00 at the price of 1351.39
BOUGHT QTY: 1 on 2020-04-28 00:00:00 at the price of 1283.2
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-10 1 1 1074.94 0 0
2019-05-13 -1 0 0 1145.24 70.3
2019-07-16 1 1 1146.73 0 0
2020-03-02 -1 0 0 1351.39 204.66
2020-04-28 1 1 1283.2 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-10 -1074.94 1078.83 3.89 3.89
2019-05-13 70.3 0 70.3 70.3
2019-07-16 -1076.43 1153.46 77.03 77.03
2020-03-02 274.96 0 274.96 274.96
2020-04-28 -1008.24 1232.59 224.35 224.35
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $409.81
The current status of the model is: Holding a position since 2020-04-28 00:00:00
Processing portfolio for model: EMA_015_SlowMA_35_FastMA_05
BOUGHT QTY: 1 on 2019-01-07 00:00:00 at the price of 1080.97
SOLD QTY: -1 on 2019-05-03 00:00:00 at the price of 1177.41
BOUGHT QTY: 1 on 2019-07-08 00:00:00 at the price of 1125.87
SOLD QTY: -1 on 2019-10-04 00:00:00 at the price of 1194.29
BOUGHT QTY: 1 on 2019-10-14 00:00:00 at the price of 1213.89
SOLD QTY: -1 on 2020-02-26 00:00:00 at the price of 1394.98
BOUGHT QTY: 1 on 2020-04-15 00:00:00 at the price of 1246.51
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-07 1 1 1080.97 0 0
2019-05-03 -1 0 0 1177.41 96.44
2019-07-08 1 1 1125.87 0 0
2019-10-04 -1 0 0 1194.29 68.42
2019-10-14 1 1 1213.89 0 0
2020-02-26 -1 0 0 1394.98 181.09
2020-04-15 1 1 1246.51 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-07 -1080.97 1075.92 -5.05 -5.05
2019-05-03 96.44 0 96.44 96.44
2019-07-08 -1029.43 1116.79 87.36 87.36
2019-10-04 164.86 0 164.86 164.86
2019-10-14 -1049.03 1217.77 168.74 168.74
2020-02-26 345.95 0 345.95 345.95
2020-04-15 -900.56 1257.3 356.74 356.74
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $517.49
The current status of the model is: Holding a position since 2020-04-15 00:00:00
Processing portfolio for model: EMA_016_SlowMA_35_FastMA_10
BOUGHT QTY: 1 on 2019-01-09 00:00:00 at the price of 1087.99
SOLD QTY: -1 on 2019-05-08 00:00:00 at the price of 1177.29
BOUGHT QTY: 1 on 2019-07-11 00:00:00 at the price of 1146.16
SOLD QTY: -1 on 2020-02-28 00:00:00 at the price of 1274.31
BOUGHT QTY: 1 on 2020-04-20 00:00:00 at the price of 1269.89
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-09 1 1 1087.99 0 0
2019-05-08 -1 0 0 1177.29 89.3
2019-07-11 1 1 1146.16 0 0
2020-02-28 -1 0 0 1274.31 128.15
2020-04-20 1 1 1269.89 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-09 -1087.99 1081.65 -6.34 -6.34
2019-05-08 89.3 0 89.3 89.3
2019-07-11 -1056.86 1144.08 87.22 87.22
2020-02-28 217.45 0 217.45 217.45
2020-04-20 -1052.44 1261.15 208.71 208.71
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $365.61
The current status of the model is: Holding a position since 2020-04-20 00:00:00
Processing portfolio for model: EMA_017_SlowMA_35_FastMA_15
BOUGHT QTY: 1 on 2019-01-10 00:00:00 at the price of 1074.94
SOLD QTY: -1 on 2019-05-10 00:00:00 at the price of 1168.84
BOUGHT QTY: 1 on 2019-07-15 00:00:00 at the price of 1145.34
SOLD QTY: -1 on 2020-03-02 00:00:00 at the price of 1351.39
BOUGHT QTY: 1 on 2020-04-27 00:00:00 at the price of 1292.0
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-10 1 1 1074.94 0 0
2019-05-10 -1 0 0 1168.84 93.9
2019-07-15 1 1 1145.34 0 0
2020-03-02 -1 0 0 1351.39 206.05
2020-04-27 1 1 1292 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-10 -1074.94 1078.83 3.89 3.89
2019-05-10 93.9 0 93.9 93.9
2019-07-15 -1051.44 1150.51 99.07 99.07
2020-03-02 299.95 0 299.95 299.95
2020-04-27 -992.05 1270.86 278.81 278.81
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $426.00
The current status of the model is: Holding a position since 2020-04-27 00:00:00
Processing portfolio for model: EMA_018_SlowMA_35_FastMA_20
BOUGHT QTY: 1 on 2019-01-11 00:00:00 at the price of 1069.9
SOLD QTY: -1 on 2019-05-14 00:00:00 at the price of 1142.32
BOUGHT QTY: 1 on 2019-07-17 00:00:00 at the price of 1150.92
SOLD QTY: -1 on 2020-03-04 00:00:00 at the price of 1358.96
BOUGHT QTY: 1 on 2020-04-30 00:00:00 at the price of 1331.36
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-11 1 1 1069.9 0 0
2019-05-14 -1 0 0 1142.32 72.42
2019-07-17 1 1 1150.92 0 0
2020-03-04 -1 0 0 1358.96 208.04
2020-04-30 1 1 1331.36 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-11 -1069.9 1064.47 -5.43 -5.43
2019-05-14 72.42 0 72.42 72.42
2019-07-17 -1078.5 1146.74 68.24 68.24
2020-03-04 280.46 0 280.46 280.46
2020-04-30 -1050.9 1346.7 295.8 295.8
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $367.15
The current status of the model is: Holding a position since 2020-04-30 00:00:00
Processing portfolio for model: EMA_019_SlowMA_40_FastMA_05
BOUGHT QTY: 1 on 2019-01-08 00:00:00 at the price of 1086.0
SOLD QTY: -1 on 2019-05-03 00:00:00 at the price of 1177.41
BOUGHT QTY: 1 on 2019-07-10 00:00:00 at the price of 1132.32
SOLD QTY: -1 on 2019-10-04 00:00:00 at the price of 1194.29
BOUGHT QTY: 1 on 2019-10-07 00:00:00 at the price of 1207.0
SOLD QTY: -1 on 2019-10-09 00:00:00 at the price of 1201.33
BOUGHT QTY: 1 on 2019-10-11 00:00:00 at the price of 1224.03
SOLD QTY: -1 on 2020-02-27 00:00:00 at the price of 1359.14
BOUGHT QTY: 1 on 2020-04-16 00:00:00 at the price of 1267.14
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-08 1 1 1086 0 0
2019-05-03 -1 0 0 1177.41 91.41
2019-07-10 1 1 1132.32 0 0
2019-10-04 -1 0 0 1194.29 61.97
2019-10-07 1 1 1207 0 0
2019-10-09 -1 0 0 1201.33 -5.67
2019-10-11 1 1 1224.03 0 0
2020-02-27 -1 0 0 1359.14 135.11
2020-04-16 1 1 1267.14 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-08 -1086 1085.37 -0.63 -0.63
2019-05-03 91.41 0 91.41 91.41
2019-07-10 -1040.91 1140.91 100 100
2019-10-04 153.38 0 153.38 153.38
2019-10-07 -1053.62 1208.25 154.63 154.63
2019-10-09 147.71 0 147.71 147.71
2019-10-11 -1076.32 1215.71 139.39 139.39
2020-02-27 282.82 0 282.82 282.82
2020-04-16 -984.32 1257.43 273.11 273.11
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $433.73
The current status of the model is: Holding a position since 2020-04-16 00:00:00
Processing portfolio for model: EMA_020_SlowMA_40_FastMA_10
BOUGHT QTY: 1 on 2019-01-09 00:00:00 at the price of 1087.99
SOLD QTY: -1 on 2019-05-09 00:00:00 at the price of 1162.6
BOUGHT QTY: 1 on 2019-07-12 00:00:00 at the price of 1142.93
SOLD QTY: -1 on 2020-02-28 00:00:00 at the price of 1274.31
BOUGHT QTY: 1 on 2020-04-24 00:00:00 at the price of 1255.0
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-09 1 1 1087.99 0 0
2019-05-09 -1 0 0 1162.6 74.61
2019-07-12 1 1 1142.93 0 0
2020-02-28 -1 0 0 1274.31 131.38
2020-04-24 1 1 1255 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-09 -1087.99 1081.65 -6.34 -6.34
2019-05-09 74.61 0 74.61 74.61
2019-07-12 -1068.32 1145.34 77.02 77.02
2020-02-28 205.99 0 205.99 205.99
2020-04-24 -1049.01 1276.6 227.59 227.59
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $369.04
The current status of the model is: Holding a position since 2020-04-24 00:00:00
Processing portfolio for model: EMA_021_SlowMA_40_FastMA_15
BOUGHT QTY: 1 on 2019-01-10 00:00:00 at the price of 1074.94
SOLD QTY: -1 on 2019-05-13 00:00:00 at the price of 1145.24
BOUGHT QTY: 1 on 2019-07-16 00:00:00 at the price of 1146.73
SOLD QTY: -1 on 2020-03-02 00:00:00 at the price of 1351.39
BOUGHT QTY: 1 on 2020-04-30 00:00:00 at the price of 1331.36
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-10 1 1 1074.94 0 0
2019-05-13 -1 0 0 1145.24 70.3
2019-07-16 1 1 1146.73 0 0
2020-03-02 -1 0 0 1351.39 204.66
2020-04-30 1 1 1331.36 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-10 -1074.94 1078.83 3.89 3.89
2019-05-13 70.3 0 70.3 70.3
2019-07-16 -1076.43 1153.46 77.03 77.03
2020-03-02 274.96 0 274.96 274.96
2020-04-30 -1056.4 1346.7 290.3 290.3
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $361.65
The current status of the model is: Holding a position since 2020-04-30 00:00:00
Processing portfolio for model: EMA_022_SlowMA_40_FastMA_20
BOUGHT QTY: 1 on 2019-01-11 00:00:00 at the price of 1069.9
SOLD QTY: -1 on 2019-05-15 00:00:00 at the price of 1122.55
BOUGHT QTY: 1 on 2019-07-18 00:00:00 at the price of 1142.0
SOLD QTY: -1 on 2020-03-04 00:00:00 at the price of 1358.96
BOUGHT QTY: 1 on 2020-05-01 00:00:00 at the price of 1324.09
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-11 1 1 1069.9 0 0
2019-05-15 -1 0 0 1122.55 52.65
2019-07-18 1 1 1142 0 0
2020-03-04 -1 0 0 1358.96 216.96
2020-05-01 1 1 1324.09 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-11 -1069.9 1064.47 -5.43 -5.43
2019-05-15 52.65 0 52.65 52.65
2019-07-18 -1089.35 1147.24 57.89 57.89
2020-03-04 269.61 0 269.61 269.61
2020-05-01 -1054.48 1317.32 262.84 262.84
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $363.57
The current status of the model is: Holding a position since 2020-05-01 00:00:00
Processing portfolio for model: EMA_023_SlowMA_45_FastMA_05
BOUGHT QTY: 1 on 2019-01-08 00:00:00 at the price of 1086.0
SOLD QTY: -1 on 2019-05-06 00:00:00 at the price of 1172.0
BOUGHT QTY: 1 on 2019-07-11 00:00:00 at the price of 1146.16
SOLD QTY: -1 on 2019-10-09 00:00:00 at the price of 1201.33
BOUGHT QTY: 1 on 2019-10-10 00:00:00 at the price of 1198.6
SOLD QTY: -1 on 2020-02-27 00:00:00 at the price of 1359.14
BOUGHT QTY: 1 on 2020-04-17 00:00:00 at the price of 1281.7
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-08 1 1 1086 0 0
2019-05-06 -1 0 0 1172 86
2019-07-11 1 1 1146.16 0 0
2019-10-09 -1 0 0 1201.33 55.17
2019-10-10 1 1 1198.6 0 0
2020-02-27 -1 0 0 1359.14 160.54
2020-04-17 1 1 1281.7 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-08 -1086 1085.37 -0.63 -0.63
2019-05-06 86 0 86 86
2019-07-11 -1060.16 1144.08 83.92 83.92
2019-10-09 141.17 0 141.17 141.17
2019-10-10 -1057.43 1209.47 152.04 152.04
2020-02-27 301.71 0 301.71 301.71
2020-04-17 -979.99 1279 299.01 299.01
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $438.06
The current status of the model is: Holding a position since 2020-04-17 00:00:00
Processing portfolio for model: EMA_024_SlowMA_45_FastMA_10
BOUGHT QTY: 1 on 2019-01-09 00:00:00 at the price of 1087.99
SOLD QTY: -1 on 2019-05-10 00:00:00 at the price of 1168.84
BOUGHT QTY: 1 on 2019-07-15 00:00:00 at the price of 1145.34
SOLD QTY: -1 on 2020-02-28 00:00:00 at the price of 1274.31
BOUGHT QTY: 1 on 2020-04-27 00:00:00 at the price of 1292.0
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-09 1 1 1087.99 0 0
2019-05-10 -1 0 0 1168.84 80.85
2019-07-15 1 1 1145.34 0 0
2020-02-28 -1 0 0 1274.31 128.97
2020-04-27 1 1 1292 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-09 -1087.99 1081.65 -6.34 -6.34
2019-05-10 80.85 0 80.85 80.85
2019-07-15 -1064.49 1150.51 86.02 86.02
2020-02-28 209.82 0 209.82 209.82
2020-04-27 -1082.18 1270.86 188.68 188.68
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $335.87
The current status of the model is: Holding a position since 2020-04-27 00:00:00
Processing portfolio for model: EMA_025_SlowMA_45_FastMA_15
BOUGHT QTY: 1 on 2019-01-10 00:00:00 at the price of 1074.94
SOLD QTY: -1 on 2019-05-14 00:00:00 at the price of 1142.32
BOUGHT QTY: 1 on 2019-07-17 00:00:00 at the price of 1150.92
SOLD QTY: -1 on 2020-03-03 00:00:00 at the price of 1397.68
BOUGHT QTY: 1 on 2020-04-30 00:00:00 at the price of 1331.36
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-10 1 1 1074.94 0 0
2019-05-14 -1 0 0 1142.32 67.38
2019-07-17 1 1 1150.92 0 0
2020-03-03 -1 0 0 1397.68 246.76
2020-04-30 1 1 1331.36 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-10 -1074.94 1078.83 3.89 3.89
2019-05-14 67.38 0 67.38 67.38
2019-07-17 -1083.54 1146.74 63.2 63.2
2020-03-03 314.14 0 314.14 314.14
2020-04-30 -1017.22 1346.7 329.48 329.48
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $400.83
The current status of the model is: Holding a position since 2020-04-30 00:00:00
Processing portfolio for model: EMA_026_SlowMA_45_FastMA_20
BOUGHT QTY: 1 on 2019-01-11 00:00:00 at the price of 1069.9
SOLD QTY: -1 on 2019-01-15 00:00:00 at the price of 1058.01
BOUGHT QTY: 1 on 2019-01-16 00:00:00 at the price of 1090.0
SOLD QTY: -1 on 2019-05-15 00:00:00 at the price of 1122.55
BOUGHT QTY: 1 on 2019-07-19 00:00:00 at the price of 1149.32
SOLD QTY: -1 on 2020-03-06 00:00:00 at the price of 1269.95
BOUGHT QTY: 1 on 2020-05-04 00:00:00 at the price of 1308.13
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-11 1 1 1069.9 0 0
2019-01-15 -1 0 0 1058.01 -11.89
2019-01-16 1 1 1090 0 0
2019-05-15 -1 0 0 1122.55 32.55
2019-07-19 1 1 1149.32 0 0
2020-03-06 -1 0 0 1269.95 120.63
2020-05-04 1 1 1308.13 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-11 -1069.9 1064.47 -5.43 -5.43
2019-01-15 -11.89 0 -11.89 -11.89
2019-01-16 -1101.89 1089.51 -12.38 -12.38
2019-05-15 20.66 0 20.66 20.66
2019-07-19 -1128.66 1131.55 2.89 2.89
2020-03-06 141.29 0 141.29 141.29
2020-05-04 -1166.84 1322.9 156.06 156.06
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $251.21
The current status of the model is: Holding a position since 2020-05-04 00:00:00
Processing portfolio for model: EMA_027_SlowMA_50_FastMA_05
BOUGHT QTY: 1 on 2019-01-08 00:00:00 at the price of 1086.0
SOLD QTY: -1 on 2019-05-08 00:00:00 at the price of 1177.29
BOUGHT QTY: 1 on 2019-07-11 00:00:00 at the price of 1146.16
SOLD QTY: -1 on 2020-02-27 00:00:00 at the price of 1359.14
BOUGHT QTY: 1 on 2020-04-20 00:00:00 at the price of 1269.89
SOLD QTY: -1 on 2020-04-22 00:00:00 at the price of 1241.11
BOUGHT QTY: 1 on 2020-04-23 00:00:00 at the price of 1265.74
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-08 1 1 1086 0 0
2019-05-08 -1 0 0 1177.29 91.29
2019-07-11 1 1 1146.16 0 0
2020-02-27 -1 0 0 1359.14 212.98
2020-04-20 1 1 1269.89 0 0
2020-04-22 -1 0 0 1241.11 -28.78
2020-04-23 1 1 1265.74 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-08 -1086 1085.37 -0.63 -0.63
2019-05-08 91.29 0 91.29 91.29
2019-07-11 -1054.87 1144.08 89.21 89.21
2020-02-27 304.27 0 304.27 304.27
2020-04-20 -965.62 1261.15 295.53 295.53
2020-04-22 275.49 0 275.49 275.49
2020-04-23 -990.25 1271.17 280.92 280.92
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $427.80
The current status of the model is: Holding a position since 2020-04-23 00:00:00
Processing portfolio for model: EMA_028_SlowMA_50_FastMA_10
BOUGHT QTY: 1 on 2019-01-09 00:00:00 at the price of 1087.99
SOLD QTY: -1 on 2019-05-13 00:00:00 at the price of 1145.24
BOUGHT QTY: 1 on 2019-07-15 00:00:00 at the price of 1145.34
SOLD QTY: -1 on 2020-03-02 00:00:00 at the price of 1351.39
BOUGHT QTY: 1 on 2020-04-28 00:00:00 at the price of 1283.2
SOLD QTY: -1 on 2020-04-29 00:00:00 at the price of 1345.0
BOUGHT QTY: 1 on 2020-04-30 00:00:00 at the price of 1331.36
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-09 1 1 1087.99 0 0
2019-05-13 -1 0 0 1145.24 57.25
2019-07-15 1 1 1145.34 0 0
2020-03-02 -1 0 0 1351.39 206.05
2020-04-28 1 1 1283.2 0 0
2020-04-29 -1 0 0 1345 61.8
2020-04-30 1 1 1331.36 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-09 -1087.99 1081.65 -6.34 -6.34
2019-05-13 57.25 0 57.25 57.25
2019-07-15 -1088.09 1150.51 62.42 62.42
2020-03-02 263.3 0 263.3 263.3
2020-04-28 -1019.9 1232.59 212.69 212.69
2020-04-29 325.1 0 325.1 325.1
2020-04-30 -1006.26 1346.7 340.44 340.44
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $411.79
The current status of the model is: Holding a position since 2020-04-30 00:00:00
Processing portfolio for model: EMA_029_SlowMA_50_FastMA_15
BOUGHT QTY: 1 on 2019-01-11 00:00:00 at the price of 1069.9
SOLD QTY: -1 on 2019-05-14 00:00:00 at the price of 1142.32
BOUGHT QTY: 1 on 2019-07-17 00:00:00 at the price of 1150.92
SOLD QTY: -1 on 2020-03-04 00:00:00 at the price of 1358.96
BOUGHT QTY: 1 on 2020-05-01 00:00:00 at the price of 1324.09
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-11 1 1 1069.9 0 0
2019-05-14 -1 0 0 1142.32 72.42
2019-07-17 1 1 1150.92 0 0
2020-03-04 -1 0 0 1358.96 208.04
2020-05-01 1 1 1324.09 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-11 -1069.9 1064.47 -5.43 -5.43
2019-05-14 72.42 0 72.42 72.42
2019-07-17 -1078.5 1146.74 68.24 68.24
2020-03-04 280.46 0 280.46 280.46
2020-05-01 -1043.63 1317.32 273.69 273.69
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $374.42
The current status of the model is: Holding a position since 2020-05-01 00:00:00
Processing portfolio for model: EMA_030_SlowMA_50_FastMA_20
BOUGHT QTY: 1 on 2019-01-14 00:00:00 at the price of 1053.34
SOLD QTY: -1 on 2019-01-15 00:00:00 at the price of 1058.01
BOUGHT QTY: 1 on 2019-01-16 00:00:00 at the price of 1090.0
SOLD QTY: -1 on 2019-05-17 00:00:00 at the price of 1175.83
BOUGHT QTY: 1 on 2019-07-24 00:00:00 at the price of 1132.62
SOLD QTY: -1 on 2020-03-06 00:00:00 at the price of 1269.95
BOUGHT QTY: 1 on 2020-05-05 00:00:00 at the price of 1337.5
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-14 1 1 1053.34 0 0
2019-01-15 -1 0 0 1058.01 4.67
2019-01-16 1 1 1090 0 0
2019-05-17 -1 0 0 1175.83 85.83
2019-07-24 1 1 1132.62 0 0
2020-03-06 -1 0 0 1269.95 137.33
2020-05-05 1 1 1337.5 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-14 -1053.34 1051.51 -1.83 -1.83
2019-01-15 4.67 0 4.67 4.67
2019-01-16 -1085.33 1089.51 4.18 4.18
2019-05-17 90.5 0 90.5 90.5
2019-07-24 -1042.12 1139.73 97.61 97.61
2020-03-06 227.83 0 227.83 227.83
2020-05-05 -1109.67 1349.02 239.35 239.35
Accumulated profit/loss for one share of stock with initial capital of $0 at the end of modeling period: $308.38
The current status of the model is: Holding a position since 2020-05-05 00:00:00
In [20]:
# Display the model performance summary
performance_summary.sort_values(by=['return_value'], inplace=True, ascending=False)
print(performance_summary)
model_name return_value return_percent 14 EMA_015_SlowMA_35_FastMA_05 517.49 None 10 EMA_011_SlowMA_30_FastMA_05 485.37 None 7 EMA_008_SlowMA_25_FastMA_10 463.00 None 9 EMA_010_SlowMA_25_FastMA_20 463.00 None 4 EMA_005_SlowMA_20_FastMA_10 449.44 None 5 EMA_006_SlowMA_20_FastMA_15 440.82 None 22 EMA_023_SlowMA_45_FastMA_05 438.06 None 3 EMA_004_SlowMA_20_FastMA_05 437.36 None 11 EMA_012_SlowMA_30_FastMA_10 434.59 None 18 EMA_019_SlowMA_40_FastMA_05 433.73 None 26 EMA_027_SlowMA_50_FastMA_05 427.80 None 16 EMA_017_SlowMA_35_FastMA_15 426.00 None 27 EMA_028_SlowMA_50_FastMA_10 411.79 None 13 EMA_014_SlowMA_30_FastMA_20 409.81 None 6 EMA_007_SlowMA_25_FastMA_05 408.02 None 24 EMA_025_SlowMA_45_FastMA_15 400.83 None 2 EMA_003_SlowMA_15_FastMA_10 388.31 None 1 EMA_002_SlowMA_15_FastMA_05 385.98 None 12 EMA_013_SlowMA_30_FastMA_15 382.09 None 28 EMA_029_SlowMA_50_FastMA_15 374.42 None 19 EMA_020_SlowMA_40_FastMA_10 369.04 None 17 EMA_018_SlowMA_35_FastMA_20 367.15 None 8 EMA_009_SlowMA_25_FastMA_15 365.61 None 15 EMA_016_SlowMA_35_FastMA_10 365.61 None 21 EMA_022_SlowMA_40_FastMA_20 363.57 None 20 EMA_021_SlowMA_40_FastMA_15 361.65 None 23 EMA_024_SlowMA_45_FastMA_10 335.87 None 29 EMA_030_SlowMA_50_FastMA_20 308.38 None 25 EMA_026_SlowMA_45_FastMA_20 251.21 None 0 EMA_001_SlowMA_10_FastMA_05 138.11 None
In [21]:
# Display the transactions from the top model
top_model = performance_summary.iloc[0]['model_name']
print('The transactions from the top model %s:' % (top_model))
print(portfolio_collection[top_model][portfolio_collection[top_model].trade_action != 0])
The transactions from the top model EMA_015_SlowMA_35_FastMA_05:
trade_action qty_onhand cost_basis sold_transaction gain_loss \
date
2019-01-07 1 1 1080.97 0 0
2019-05-03 -1 0 0 1177.41 96.44
2019-07-08 1 1 1125.87 0 0
2019-10-04 -1 0 0 1194.29 68.42
2019-10-14 1 1 1213.89 0 0
2020-02-26 -1 0 0 1394.98 181.09
2020-04-15 1 1 1246.51 0 0
cash_onhand position_value total_position accumu_return
date
2019-01-07 -1080.97 1075.92 -5.05 -5.05
2019-05-03 96.44 0 96.44 96.44
2019-07-08 -1029.43 1116.79 87.36 87.36
2019-10-04 164.86 0 164.86 164.86
2019-10-14 -1049.03 1217.77 168.74 168.74
2020-02-26 345.95 0 345.95 345.95
2020-04-15 -900.56 1257.3 356.74 356.74
In [22]:
# Display the entry and exit signals for the top model
print('The trading signal changes from the top model %s:' % (top_model))
print(model_collection[top_model][model_collection[top_model].signal_change != 0])
The trading signal changes from the top model EMA_015_SlowMA_35_FastMA_05:
open_price close_price fast_ma slow_ma ma_change \
date
2019-01-04 1042.56 1078.07 1051.575866 1051.266297 0.309569
2019-05-02 1172.60 1166.51 1204.989272 1210.852394 -5.863121
2019-07-05 1119.37 1132.66 1115.359963 1113.994334 1.365629
2019-10-03 1183.34 1189.43 1201.088228 1205.720051 -4.631823
2019-10-11 1224.03 1215.71 1207.841696 1205.908221 1.933476
2020-02-25 1431.00 1386.32 1446.815629 1452.577673 -5.762044
2020-04-14 1239.97 1265.23 1216.218529 1215.737194 0.481335
trade_signal signal_change entry_exit
date
2019-01-04 1.0 1.0 0.0
2019-05-02 0.0 -1.0 0.0
2019-07-05 1.0 1.0 0.0
2019-10-03 0.0 -1.0 0.0
2019-10-11 1.0 1.0 0.0
2020-02-25 0.0 -1.0 0.0
2020-04-14 1.0 1.0 0.0
In [23]:
graph_data = model_collection[top_model].copy()
title_string = "Exponential Moving Average Crossover Model for " + top_model
fig = plt.figure(figsize=(16,9))
ylabel = stock_symbol + ' price in $'
ax1 = fig.add_subplot(111, ylabel=ylabel, title=title_string)
graph_data['fast_ma'].plot(ax=ax1, color='b', lw=2.)
graph_data['slow_ma'].plot(ax=ax1, color='r', lw=2.)
graph_data['close_price'].plot(ax=ax1, color='g')
ax1.plot(graph_data.loc[graph_data.entry_exit == 1].index, graph_data.close_price[graph_data.entry_exit == 1], '^', markersize=7, color='k',label='buy')
ax1.plot(graph_data.loc[graph_data.entry_exit == -1].index, graph_data.close_price[graph_data.entry_exit == -1], 'v', markersize=7, color='k',label='sell')
plt.legend(loc='upper left')
plt.show()
Task 5. Evaluate Performance¶
In [24]:
best_model = ''
best_return = 0
for key in portfolio_collection:
if portfolio_collection[key]['accumu_return'][-1] > best_return:
best_model = key
best_return = portfolio_collection[best_model]['accumu_return'][-1]
print('The best model found is:', best_model)
print('The best profit/loss for the investing period is: $%.2f' % (best_return))
if initial_capital != 0:
print('The best return percentage for initial capital is: %.2f%%' % (best_return / initial_capital * 100))
The best model found is: EMA_015_SlowMA_35_FastMA_05 The best profit/loss for the investing period is: $517.49
In [25]:
worst_model = None
worst_return = 0
for key in portfolio_collection:
if portfolio_collection[key]['accumu_return'][-1] < worst_return:
worst_model = key
worst_return = portfolio_collection[worst_model]['accumu_return'][-1]
print('The worst model found is:', worst_model)
print('The worst profit/loss for the investing period is: $%.2f' % (worst_return))
if initial_capital != 0:
print('The worst return percentage for the initial capital is: %.2f%%' % (worst_return / initial_capital * 100))
The worst model found is: None The worst profit/loss for the investing period is: $0.00
In [26]:
# Calculate the stock's performance for a long-only model
model_template = model_template[model_start_date:model_end_date]
print('The performance of the long-only model from day one is: $%.2f' %(model_template.iloc[-1]['close_price'] - model_template.iloc[0]['open_price']))
The performance of the long-only model from day one is: $390.85
In [27]:
print ('Total time for the script:',(datetime.now() - startTimeScript))
Total time for the script: 0:00:46.391160